Learn Advanced concepts in Risk Management:

  • Financial Market Risk
  • Historical VAR
  • Stress Analysis
  • Monte Carlo Simulation
  • Basic of Credit Risk
  • Credit Ranking
  • Excel Templates for Portfolio & Risk Management

Course Duration:30 Hours (Theory + Practical) and Extra 20 Hours (Practical)

Practical: Students will get access to the Excel templates of all the Risk models listed in the theory part.

Other facilities you have when you enroll into this course are :

  1. Separate forum for Risk Management module, to post your doubts for immediate clarifications from other students or trainer
  2. Chatrooms, to discuss with your co-students in the course
  3. Priority chance to participate in events and trading contests across India

Course Curriculum


Sampling & Distribution

  • Time-Series Data & Cross-Sectional Data
  • Sampling
  • Identification of Risk
  • Central Limit Theorem
  • Sampling Error
  • Methods of Sampling

Volatility Estimation

  • Regime Switching
  • Cyclical Volatility
  • EWMA
  • Implied Volatility (IV)

Introduction to VAR

  • Introduction to Risk
  • Value at Risk (VaR)
  • Value-at-Risk Measurement Methods
  • Delta Normal VAR: Linear and Non-Linear Assets
  • Delta Normal VAR for Linear Derivatives
  • Delta Normal VAR for Non-Linear
  • Full Valuation Method
  • Historical Simulation
  • Monte Carlo Simulation
  • Comparison between Methods

Analysing Tails (WCS)

  • Visualizing WCS
  • Stress Testing
  • Improving Stress Tests
  • Scenario Analysis
  • Unidimensional and Multidimensional Scenarios
  • Various Approaches to Scenario Analysis
  • Standard Portfolio Analysis of Risk (SPAN)

Greeks & Hedging Risk

  • Naked and Covered Position
  • Stop loss Strategy
  • GREEKS – Delta
  • GREEKS – Theta
  • GREEKS – Gamma
  • GREEKS – Vega
  • GREEKS – Rho
  • Summary

Foundation of RISK MODEL (Factor Model)

  • Security Market Line (SML) & CAPM (Beta)
  • Measures of performance
  • VaR based risk adjusted measures
  • Single Factor Model
  • Multifactor Model
  • Multifactor SML
  • Arbitrage Pricing Theory (APT)
  • APT vs CAPM
  • Multifactor APT
  • Fama French Three Factor Model

Data Aggregation Risk

  • Common Issues Resulting in Data Errors

Credit Risk

  • Credit Risk
  • Expected Loss (EL)
  • Unexpected Loss
  • Economic Capital

Credit Ratings

  • External Credit Rating
  • Credit Rating Process
  • Transition Matrices
  • Internal Credit Rating
  • Biases in Rating System
  • Rating Agencies
  • Sovereign Rating

Operational Risk

  • Risk Management: A Helicopter View
  • Operational Risk
  • Ways to Determine Operational Risk
  • Advanced Measurement Approach
  • Operational Risk Management Process
  • Expected Loss Vs Unexpected Loss
  • Classification of Risk
  • Hedging Operational and Financial Risk
  • Steps of Risk Management into Practice
  • Corporate Governance & Risk Management
  • Committees & Risk Limits
  • Roles & Responsibilities in Practice


  • What is ERM?
  • Benefits of ERM
  • Roles of CRO
  • Components of ERM
  • ERM & Risk Appetite


  • Role of RM
  • Mistakes in RM
  • Problems with VAR

Subprime Crisis (Case Study)

  • The U.S. Housing Market

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Learn advanced concepts in risk management with our course. This NSE academy certified program provide classroom training in Risk Management Techniques. To know more about this Course please fill the form and we’ll contact you shortly.

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