ADVANCED RISK MANAGEMENT
Learn Advanced concepts in Risk Management:
- Financial Market Risk
- VAR, EWMA, GARCH
- 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 :
- Separate forum for Risk Management module, to post your doubts for immediate clarifications from other students or trainer
- Chatrooms, to discuss with your co-students in the course
- Priority chance to participate in events and trading contests across India
Course Curriculum
ADVANCED RISK MANAGEMENT
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
- GARCH
- 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
ERM
- What is ERM?
- Benefits of ERM
- Roles of CRO
- Components of ERM
- ERM & Risk Appetite
RISK MANAGEMENT FAILURES
- Role of RM
- Mistakes in RM
- Problems with VAR
Subprime Crisis (Case Study)
- The U.S. Housing Market
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