Financial Risk: Meaning, Measuring & Managing Risk

Managing financial risks such as market, credit, liquidity, operational has become an important aspect for banks and financial institutions operating in today's volatile markets. This five days programme gives in one capsule the necessary skills in measuring financial risks. It will cover measurement techniques for different types of financial contracts and investment portfolios: fixed income, equity and foreign currency.

Methodology

Lectures, case studies, and extensive calculations of bond mathematics using Microsoft excel.

Programme Contents
Defining the world of risk
Basic financial risk mathematics
Introduction to probability
Measuring volatility, SD, ARCH, GARCH
Measuring volatility with implied volatility
Risk in bonds: duration and convexity measures
Parametric value at risk (VaR) measures
Monte Carlo & historical simulations
FX risk analysis & rupee hedging options
Commodity price risk management
Interest rate swaps and options
Currency Swaps, options, Futures
Credit risk measurement, Credit Metrics
Asset- Liability management in banks
Basel II and Bank Capital Management
Operational risk management and control
Using Microsoft excel to measure risk
Cases in financial risk (LTCM, Lehman Brothers, etc.)