PROGRAM: FLIP - NCFM : Market Risk

Chapter Topics

Market Risk - Introduction Introduction to Risk: What is Risk?, 3 stages of Risk Management.

Market Risk - types: An example based discussion on types of marke

'Re-investment Risk', 'Yield-Curve Shape Risk', 'Basis Risk', etc.

Measuring Risk Standard Deviation - Tool for measuring Market Risk.

Diversification and its importance in reducing impact of risk on portf

Introduction to Correlation, and its computation to estimate portfolio

Parameters used to measure market risk for different portfolios of Eq

Value at Risk Introduction: A discussion on calculation of various parameters requi

'Correlations', esimating volatilities, time-horizon and 'Degree of Con

Calculation of VaR: Calculation of Var for a portfolio with investmen

VaR Limitations: Discussion on various limitations of VaR calculatio

Back Testing: Use of Back Testing to validate the risk model.

Managing Risk - Exchange Introduction to 'Exchange Traded Instruments' and risk management

Margins for Exchange Taded Instruments:

Equities: VaR Margin, Extreme Loss Margin, and Mark Market Mar
Equity Derivatives: Initial Margin, Span Margin, Premium Margin a
Interest Rate Futures and Currency Futures: Initial Margins and E

Managing Risk - RBI Basel Norms: RBI guidelines to cover market portfolios of Bonds, Eq

RBI Guidelines in the form of Capital Charge and its computation.

Managing Risk - Internal Internal Limits: 'Position Limits', 'Loss Limits' and other limits used i

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 PROGRAM: Risk Management
Program covers:

 1. Credit and Operational Risk

 2. Market Risk
Credit and Operational Risk

Chapter Topics

Introduction to Credit risk A discussion on the concept of credit risk management.

Credit risk management process:

Identifying the risk,
Measuring the risk
Managing and mitigating risk

Measuring Credit Risk Key parameters that determine potential losses from credit risk.

Probability of Default: Computing the probability of default with the help of 'C

Exposure at Default: Classification of the exposure into 'Direct Exposure', 'Co

Concept of expected and un-expected losses, Joint probabilities of default.

Credit Risk Computation - Live A comprehensive example to illustrate the computation of credit risk for a mark
Illustration J.P.Morgan

Credit risk computation challenges - Cumulative default probabilities, Transi

Credit Risk Management Managing credit risk through pricing and capital cushion.
Concept of RAROC
Mitigation of credit risk - A discussion on how credit risk can be mitigated thr
Arrangements' , 'Collateral', 'Limits', 'Termination Rights', 'Guarantees', and 'Cr
Chapter Topics

Evaluation and Approval of Credit Facilities: Steps involved (such as - 'Orig

Role of technology in measuring and managing credit risk management.

Credit Derivative Products Types of Credit Derivative Products: Credit Default Swaps (CDS), Total Ret

Structured products - Asset backed securities.

RBI norms for securitization exposures and re-securitization exposures.

Basel Guidelines - Global A discussion on key credit facilities (such as - loan, trade liabilities, derivative i
exposure for them.

Approaches for capital adequacy: 'Standardised' approach, 'Foundation Intern

approach. Variation in applicability of Basel norms across geographies.

RBI Guidelines for Basel Capital adequacy norms: Concept of 'Tier I' and 'Tier II' capital and their com
Implementation Domestic/ foreign sovereign debt, corporate exposures, etc.)
Guidelines on Credit Risk Mitigation

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Operational Risk

Chapter Topics

Introduction to Operational Live Case: Societe Generale, a discussion on the importance of automated pro
Risk

Operational risk management: Internal risk event tracking

Operational Risk Management Risk Control Self Assessment (RCSA): Steps in RCSA process (such as - ide
frequencies, etc.).

Operational risk computation: Steps involved in quantifying and aggregating

unexpected loss.

Operational Risk: Compliance Basel guidelines for operational risk: Step by step illustration of the three ap
and Technology risk - Basic Indicator Approach, The Standardized Approach (TSA), Advanced

Operational Risk - process and technology:Key components

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Market Risk

Chapter Topics

Market Risk - Introduction Introduction to Risk: What is Risk?, 3 stages of Risk Management.

Market Risk - types: An example based discussion on types of market risk tha
investment Risk', 'Yield-Curve Shape Risk', 'Basis Risk', etc.

Measuring Risk Standard Deviation - Tool for measuring Market Risk.

Diversification and its importance in reducing impact of risk on portfolios.

Chapter Topics

Introduction to Correlation, and its computation to estimate portfolio diversifi

Parameters used to measure market risk for different portfolios of Equities, Bo

Value at Risk Introduction: A discussion on calculation of various parameters required for V

esimating volatilities, time-horizon and 'Degree of Confidence' required etc.)

Calculation of VaR: Calculation of Var for a portfolio with investments in Equ

VaR Limitations: Discussion on various limitations of VaR calculation.

Back Testing: Use of Back Testing to validate the risk model.

Managing Risk - Exchange Introduction to 'Exchange Traded Instruments' and risk management aspects r

Margins for Exchange Taded Instruments:

Equities: VaR Margin, Extreme Loss Margin, and Mark Market Margin
Equity Derivatives: Initial Margin, Span Margin, Premium Margin and Assig
Interest Rate Futures and Currency Futures: Initial Margins and Extreme

Managing Risk - RBI Basel Norms: RBI guidelines to cover market portfolios of Bonds, Equity, For

RBI Guidelines in the form of Capital Charge and its computation.

Managing Risk - Internal Internal Limits: 'Position Limits', 'Loss Limits' and other limits used in practic

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LEARNING HOURS

1. https://www.investoo.com/advanced-technical-analysis/
2. https://www.niftytradingacademy.com/free-technical-analysis-training/
3. https://www.stocktrader.com/free-technical-analysis-education-articles/

NCFM-00001298781