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Risk Management

Module I: Over view of Risk

  • Over view of Risk
  • Risk identification
  • Introduction to Risk and Insurance
  • Risk identification
  • Risk Evaluation, Risk assessment & Management
  • Risk analysis: Exposure of physical assets, financial assets, and Human assets
  • Exposure to legal liability
  • Risk Management, Risk control

Module II: Risk Management

  • Risk Management using futures and forwards differences
  • Valuation of futures
  • Valuation of long and short
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    forward contract

  • Mechanics of buying &selling futures, Margins
  • Hedging using futures
  • Specification of futures: Commodity futures, Index futures interest rate futures
  • Arbitrage opportunities

Module III: Risk Management using Swaps

  • Mechanics of interest rate swaps
  • Volatility of interest rate swaps
  • Currency swaps
  • Valuation of currency swaps

Module IV: Risk Management using Options

  • Types of options
  • Option pricing
  • Factors affecting option pricing
  • Call and put options on dividend and non-dividend paying stocks
  • Put-call parity-mechanics of options
  • Stock options
  • Options on stock index
  • Options on futures
  • Interest rate options
  • Concept of exoctic option
  • Hedging & Trading strategies involving options
  • Valuation of option: basic model
  • One step binomial model
  • Black and Scholes analysis
  • Option Greeks
  • Arbitrage profits in options

Module V: Commodity derivatives

  • Commodity futures market
  • Exchanges for commodity futures in India
  • Forward markets, Commissions and regulation
  • Commodities traded
  • Trading and settlements
  • Physical delivery of commodities.

Module VI: Interest rate markets

  • Type of rates
  • Zero rates
  • Bond pricing,
  • Determining Zero rates
  • Forward rules
  • Forward rate agreements
  • Treasury bond & Treasury note futures
  • Interest rate derivatives

Module VII: Credit Risk

  • Bond prices and the probability of default
  • Historical default experience
  • Reducing exposure to Credit risk
  • Credit default swaps
  • Total return swaps
  • Credit spread options
  • Collateralized debt obligation

Module VII: Measure Value at Risk (VAR)

  • Historical simulation
  • Model building approach
  • Linear approach
  • Quadratic model
  • Monte Carlo simulation
  • Stress testing and back testing