Time taken to complete each Course:
Two - Three hours

• Objectives
  
• Introduction
  
• Types of Interest Rate Risk
  
• Impact of Interest Rate Risk
  
• Measuring Interest Rate Risk I
  
• Measuring Interest Rate Risk II
  

• Objectives
  
• Introduction
  
• Liquidity Measurement Systems
  
• Liquidity Management
  
• Practical Tools and Techniques
  
• Liquidity Risk and VaR
  

• Objectives
  
• Introduction
  
• Capital Asset Pricing Model
  
• Measuring Equity Risk
  
• Diversification and Equity Risk
  

• Objectives
  
• Introduction
  
• Types of Risk Exposure
  
• Measuring Portfolio Risk
  
• Portfolio Management
  

• Objectives
  
• Introduction
  
• Regulations

• Objectives
  
• Introduction
  
• Commodity Market
  
• Methodology
  

• Objectives
  
• Aim of Regulation
  
• Basel Accord
  
• Approaches to Capital Charges
  

• Objectives
  
• Risk Measures
  
• Introduction
  
• Value at Risk Parameters
  
• Role of VaR
  
• Regulators and VaR
  
• Determining VaR
  
• Evaluating VaR
  
• Application of VaR

Set of 5 interactive Job Aids

• Disclosures

• Benchmarking Data

• Policy Templates
  
• Global Best Practices
• Measurement Tools
  

1. Undiversified and Diversified VaR
2. VaR of an Equity
3. VaR of an FRA
4. Variance Covariance

Time taken to complete each Course:
Two - Three hours

Set of 5 interactive Job Aids

• Benchmarking Data
• Disclosures
• Global Best Practices

• Measurement Tools
• Policy Templates

Time taken to complete each Course:
Two - Three hours

Set of 5 interactive Job Aids

• Benchmarking Data
  
• Disclosures
  
• Global Best Practices
  
• Measurement Tools
  
• Policy Templates

Time taken to complete each Course:
Two - Three hours

• The various statistical measures viz., measures of central tendency and measures of dispersion
• The statistical relationship between the standard deviation and confidence intervals for normal distributions
• The concept of correlation and volatility and the methods to calculate them

• The concept of Value at Risk
• The concept of trading and banking book
• The various methodologies of estimating VaR and their strengths and weaknesses
• The comparison between the strength and limitation of VaR

• The computation of VaR of foreign exchange spot, foreign exchange options positions, common shares/stocks, fixed income portfolio including portfolio
• The various applications of VaR

• The framework of the analytical techniques - gap, duration, simulation and value at risk
• The concept and assumption under each techniques
• The comparison and analysis of each techniques across various parameters
• The application of techniques with real life case studies

• How market risk can be regulated
• The purpose of regulatory capital
• The various approaches applied to capital charges

• The various methods to measure value at risk such as parametric, historical simulation and monte carlo simulation
• The comparison among the various methods according to their characteristics, advantages and disadvantages
• The process of value at risk implementation

• The concept of stress testing as a complimentary tool to value at risk analysis
• The creation of hypothetical and historical scenarios
• The implementation of stress test scenarios into market risk modeling
• The growing use of stress testing to risk managers

• The technique of backtesting
• The different types of backtesting

• The important steps involved in the choice of risk management software vendor
• The main software solution vendors; the products they offer and their salient features

• The various emerging forms of VaR viz., Component VaR and Del VaR
• The impact on individual trades on Total VaR using these forms
• The advancements in Monte Carlo Simulation
• The variance reduction techniques employed for Monte Carlo Simulation

• The concept of volatility and volatility clustering
• The conditional volatility models viz., Exponential Moving Average approach and GARCH
• The importance of time errors and the impact of crashes on correlation and its effect on VaR calculation

• The application of stress testing to a group of reporting firms through aggregation
• The various techniques like Maximum Loss and Extreme Value Theory
• How systematic stress testing is used with the help of stress test matrices

• The concept and need for risk adjusted performance measurement
• Risk capital and details of the measures for risk capital viz., revenue (or earnings) volatility, Earnings at Risk (EaR), and asset volatility - Value at Risk (VaR)
• The importance of capital allocation in risk adjusted performance measurement and the factors that affect them

Set of 5 interactive Job Aids

• Disclosures
• Benchmarking Data
• Policy Templates
• Measurement Tools
• Global Best Practices