Banking Professional Market Risk

Industry Endorsed Certificate-NCFM : Market Risk Online Course

A complete video lecture on Industry Endorsed Certificate-NCFM : Market Risk Online Course

Overview of Industry Endorsed Certificate-NCFM : Market Risk Online Course

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.

Table of contents

ChapterTopics
Market Risk - IntroductionIntroduction 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 RiskStandard 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 RiskIntroduction: 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 - ExchangeIntroduction 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 - RBIBasel 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.

About faculty of Industry Endorsed Certificate-NCFM : Market Risk Online Course

H Jaishankar
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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