This course tells you how a risk manager measures and monitors market risk for his division. It also covers the RBI guidelines on market risk.
|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 that a bank faces (for example:'Refinancing Risk', '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 portfolios.Introduction to Correlation, and its computation to estimate portfolio diversification.|
Parameters used to measure market risk for different portfolios of Equities, Bonds,Currencies and Derivatives.
|Value at Risk||Introduction: A discussion on calculation of various parameters required for VaR computation (such as - estimating 'Correlations', esimating volatilities, time-horizon and 'Degree of Confidence' required etc.)Calculation of VaR: Calculation of Var for a portfolio with investments in Equities, Bonds and Derivatives.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 related to them.|
Margins for Exchange Taded Instruments:Equities: VaR Margin, Extreme Loss Margin, and Mark Market MarginEquity Derivatives: Initial Margin, Span Margin, Premium Margin and Assignment Margin.Interest Rate Futures and Currency Futures: Initial Margins and Extreme Loss Margins.
|Managing Risk - RBI||Basel Norms: RBI guidelines to cover market portfolios of Bonds, Equity, Foreign Exchange, Derivatives.|
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 practice.
Jai joined ANZ Grindlays from campus, and moved on to Citibank, and then to Deutsche Bank, as head of Foreign Exchange & short term Derivatives trading for India.
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