Training

• Module-1 : Quantitative Techniques
  • Probability Functions
  • Basics of Statistics & Volatility
  • Basic Financial Mathematics
  • Estimating Parameters of Distribution
  • Statistical Inference and Hypothesis Testing
  • Estimating Correlation and Volatility: EWMA and GARCH Models
  • Maximum Likelihood Methods
  • Volatility Term Structures, Simulation Methods
• Module-2 : Essentials of Financial Risk Management
  • Introduction: Market Risk, Credit Risk, Operational Risk
  • Economic Capital & Risk Adjusted Return on Capital (RAROC)
  • Yield Curves – Yield to Maturity (YTM), Par, Zero Coupon, Forward
  • Basic Risk Measurements – Price Value Basis Point (PVBP), Duration, Convexity, VaR
  • Equilibrium and the Capital Asset Pricing Model (CAPM)
  • Performance measurement & attribution: Sharpe and information ratio; Tracking error
  • Factor models and Arbitrage Pricing Theory
  • Risk management failures; Case studies; Ethics
• Module-3 : Introduction to Financial Markets & Products
  • Introduction to Financial Transactions – Types, Stages, Cash flows
  • Introduction to Financial Markets – Underlying, Derivatives, Structured Products
  • Fundamentals of Derivatives – Forwards, FRA, Futures, Swaps, Options
  • Basics of Pricing & Valuation of Traded Instruments
  • Clearing house mechanisms, structural hubs, exchanges; Netting, collateral, etc.
  • Derivatives on interest rates, foreign exchange, equities and commodities
  • Measuring portfolio exposures
  • Trading strategies with derivatives
• Module-4 : Equity & Forex Markets – Pricing, Valuation & Risk
  • Fundamentals of Equity Market
  • Equity Futures, Warrants & Convertible Bonds, CFD, Exchange Traded Funds
  • Equity Options – Types, Basic Structures, Black & Scholes Option Pricing Model
  • Greeks, Put Call Parity, Trading Structures, Volatility Smiles, Exotic Options; Equity Swaps, Volatility Swaps, Variance Swaps, Dispersion Swaps
  • Fundamentals of Forex Market – Spot, Forward, Outright, Forex (FX) Swap, Futures
  • FX Options – Garman Kohl Hagen Pricing Model, Greeks, Volatility Estimation
  • Correlation, Binomial Tree, Dynamic Hedging, Spreads, Volatility Smiles and Skews
  • Exotic Options – Compound, Chooser, Barrier, Binary, Look-back, Shout, Asian, Basket Options
• Module-5 : Interest Rate & Credit Markets – Pricing, Valuation & Risk
  • Fundamentals of Interest Rate Market – Cash Flow Pattern & Collaterals
  • Money & Bond Market Instruments – TBills, CP, CD, ICD, Government Securities, Bonds, Repo, Reverse Repo, Floaters, Inverse Floaters; Interest Rate Futures, Forward Rate Agreement
  • Generic & Non-Generic Interest Rate Swaps, Complex Swaps, Quantos, Currency Swaps
  • Interest Rate Options – Black Option Pricing Model, Interest Rate Volatility, Caps, Floors & Collars; Digital Options, Embedded Structures, Complex Structures, Swaptions
  • Credit Default Swaps – Single Name, Indices, Tranche, Basket
  • Securitization – Mortgage Backed Securities, Asset Backed Securities
  • Collateralized Debt Obligation, Credit Linked Notes; Asset Swaps
  • Total Return Swaps, Bespoke Financial Instruments, CXOs
• Module-6 : Valuation and Risk Modeling
  • Value-at-Risk (VaR) – Definition and methods
  • Parametric, Delta-normal valuation, full revaluation
  • Historical simulation
  • Monte Carlo simulation methods
  • Value at Risk Contribution, Testing, Limitations
  • Application of VaR for market, credit and operational risk
  • Credit rating agencies, credit ratings; Credit transition matrices
  • Sovereign risk and country risk evaluation; Binomial trees; Black-Scholes-Merton model
• Module-7 : Market Risk Measurement and Management
  • Volatility smiles and volatility term structures
  • Exotic options; Duration and convexity of fixed income securities
  • Term structure models
  • Back-testing VaR; Mapping financial instruments to risk factors; Expected shortfall
  • Extreme value theory; Copulas and tail dependence
  • Mortgage and mortgage backed securities – Underwriting mortgages, prepayment models
  • Risks in mortgage and mortgage backed securities
  • Valuation of mortgage-backed securities
• Module-8 : Liquidity Risk Management
  • Overview - Defining liquidity risk, Key drivers, Impact of liquidity crisis, Inter-relationships
  • 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 Bank’s 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
  • Asset Liability Committee (ALCO), Organizational Innovations - Data Requirements & Policy Statements, ALCO Reports
• 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
  • Credit derivatives, CDS, CLN, CDO; Structured finance, securitization, tranching, subordination
  • Probability of default, loss given default and recovery rates; Credit scoring; Credit spreads; Expected and unexpected loss; Contingent claim approach and the KMV model
  • Default and default-time correlations
  • Credit risk management models; Risk mitigation techniques (netting, rating triggers, collateral)
  • 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
  • Measuring exposures to risk factors (dynamic strategies, leverage, derivatives, style drift)
  • Pension fund risk management