Topic
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Sub-topic
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Market Risk
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- Market Risk Loss for Banks
- Market Risk Framework
- Organizational set up for Market Risk Management
- Types of Market Risk
- Stand-alone risk and Portfolio Risk
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Tools and techniques for measurement of market
risk
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- Measurement of market risk
- Modified Duration & Convexity
- PVBP
- VaR Approach
- Simulation
- Stress testing
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Interest Rate Risk (IRR) management
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- IRR in Bank’s Balance Sheet
- Interest Rate Risk in the Banking Book [IRRBB]
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Sources of IRRBB
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- Repricing risk (Gap risk)
- Yield Curve Risk
- Basis Risk
- Embedded Options Risk
- Effects of Interest Rate Risk in the Banking Book [IRRBB]
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RBI’s guidelines for measurement and management of IRR
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- Methods of Interest Rate Risk Measurement
- Traditional Gap Analysis [TGA] Model
- Duration Gap analysis [DGA] Model
- Statement of Interest Rate Sensitivity – Time buckets
- Reporting of the Interest Rate Risk position to RBI
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Traditional Gap Analysis [TGA] Model
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- Traditional Gap Analysis Model
- Exercise
- Impact of Interest Rate Risk measured through TGA Model
- Managing IRR through TGA Model
- Limitations of Traditional Gap Analysis Model
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Duration Gap analysis [DGA] Model
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- Duration Gap Analysis Model
- Computation of Duration Gap
- Exercise
- Impact of Interest Rate Risk measured through DGA Model
- Managing IRR through Duration Model
- Limitations of Duration Gap Analysis Model
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BCBS guidelines on IRR management
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- Components of interest rates as given by Basel Committee on Banking Supervision (BCBS)
- Components of a non-traded pure loan
- Measurement methods of IRRBB
- Earnings based measure
- Economic value based measure
- Limitations in IRRB estimation
- Management and control of Interest Rate Risk
- BCBS Principles of IRR Management
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