Estimate risk measures, VaR and expected shortfall using various approaches including back-testing
Identify advantages and disadvantages of parametric and non-parametric estimation methods
Explain the principles underlying VaR mapping and compare the results of research on top-down and bottom-up risk aggregation method
Describe financial correlation risk and the areas in which it appears in finance.
Who should attend?
Executives and Policy Makers
Head of Risk and Compliance functions
Heads of Business functions
Internal Audit
Prerequisites
Basic understanding of Financial Markets and Products and in particular.
Day 1:
Session 1
Enterprise Risk Management enhancing Organisational Value
Discussions on the methods of enhancing enterprise value through proactive risk management
Session 2
Market Risk Management as per Basel Framework
Discussions on the sources of different types of market risk, risk dimensions and management of the various market risk components
Day 2:
Session 3
Management of Interest Rate Risk [IRR] in the banking book
Discussions on the types of impact to the balance sheet on account of interest rate risk in the banking book
Computation of Capital Requirements for Market Risk
Understanding the capital computation methodology for the various components of market risk as per regulatory prescriptions
Session 4
Investment Management in Banks
Discussions on the prescriptions of RBI relating to investments and the strategies available for banks to manage investments
Session 5
Stress Testing in Banks
Discussions on stress testing and the stress testing methodologies relating to market risk
