Training program on Financial Risk modeling

Introduction to risks

Credit Risk Measurement and Management

Bond Prices and yield to maturity

Generalizations and Curve Fitting
One-Factor Measures of Price Sensitivity
Measures of Price Sensitivity Based on Parallel Yield Shifts
Key Rate and Basket Exposures
Term Structure Models
Mortgage Backed Securities
Delta-Normal Method for a Fixed-Income Portfolio
Rating Agencies
Classic Credit Analysis
Corporate Credit Risk Models based on Stock Price
Default Rates, Losses and Recoveries
Credit Risk Migration
Portfolio Approaches
Credit Pricing, Risk-Adjusted Returns and Allocation of Capital
Individual Loan Risk
Loan Portfolio and Concentration Risk
Sovereign Risk
Loan Sales and Other Credit Risk Management Techniques
Credit Risk of Derivatives

Market Risk Measurement and Management

Futures

Mechanics of Futures Market

Determination of Forward and Futures Prices
Hedging Strategies Using Futures
 Interest Rate Markets
Swaps

Options
Mechanics of Option Markets
Properties of Stock Options
Trading Strategies Using Options
Binomial Trees
Model of the Behavior of Stock Prices
The Black Scholes Model
Option Greeks
Volatility Smiles
Exotic Options

Value at Risk
Computing VAR
VAR Methods
Implementing Delta-Normal VAR
Simulation Methods
Liquidity Risk
Stress Testing
Decomposing Risk
Aggregating and Decomposing the Risks of Large Portfolios
Extreme Value theory and VAR
Coherent Risk Measures

Operational & Integrated Risk Management

Introduction to Operational Risk

Sources of Operational Risk
Operational Cost of Technology Risk
Case Studies
Risk Assessment strategies
Risk Indicators and Scorecards
Operational Risk Analysis and Measurement
Economic Risk Capital Modeling
VAR Approach and Operational Risk
Backtesting VAR Models
Risk Management: Guidelines and Pitfalls
Capital Allocation and Performance Measurement