Governance - Liquidity risk tolerance, Strategies, policies and practices, Liquidity costs, benefits
and risks, Banks which failed due primarily to weak liquidity management
Asset Liquidity and Funding Needs; Forecasting funding needs; Collateral assessment
Early warning signals; Interaction between liquidity and other risks; Stress-tests; Trigger events
Funding Strategy; Issues; Refinancing risk of bonds and money market funding
Forecasting funding cash-flows over different time horizons; Contingency funding plan; Back up
liquidity; Central Banks marginal lending facilities, Monitoring and controls
Supervision; Comparison across regulatory regimes; Liquidity risk tolerance given systemic risk
Regulatory responses to liquidity problems; Remedial actions; Due diligence synopsis; Basel II
Module-9 : Asset Liability Management (ALM)
Interest Rate Risk for ALM
Liquidity Risk in ALM, Transfer Pricing
Concept of ALM, Risk Management Framework, Need for ALM, ALM in Practice
Strategic Balance Sheet Management vs. Trading of Financial Products, Interest Rate Risk
EVPE; Gap Report, Management of Balance Sheet & Off- Balance Sheet Items, Net Interest
Analytical Techniques used in ALM
Transfer Pricing, Regulatory Requirements, Cash Flow Budgeting, ALM Systems
Module-10 : Credit Risk Measurement and Management
Credit Risk: Types, Exposure, Mitigations
Credit Risk: Measurement & Estimations
Portfolio Credit Risk; Risk Adjusted Performance, Loan Pricing; Credit Risk Regulatory Capital;
Basel Accord; Sub prime mortgages and sub prime securitization; Counterparty
Probability of default, loss given default and recovery rates; Credit scoring; Credit spreads;
Expected and unexpected loss; Contingent claim approach and the KMV model
Causes and consequences of the current crisis; Sub-prime mortgage design; Mortgages and
securitization, sub-prime CDOs; Liquidity crises; Use and limitations of VaR; Systemic risk
Module-11 : Operational and Integrated Risk Management
Operational Risk: Measurements & Regulatory Capital
Diversification of Risk & Bank Level Capital Requirement
Definition of risk capital; Allocation of risk capital across the firm; Firm-wide risk management
Correlations across market, credit and operational risk
Evaluating the performance of risk management systems
Regulation and the Basel II accord Minimum capital requirements
Credit concentration risk, Implementation and model risk
Economic capital and risk aggregation
Module-12 : Risk Management and Investment Management
Portfolio construction
Risk decomposition and performance attribution
Risk budgeting; Setting risk limits
Hedge fund risk management; Risk-return metrics specific to hedge funds; Risk of strategies
Asset illiquidity, valuation, and risk measurement
The use of leverage and derivatives and the risks they create