Executive Development Program in Applied Financial Risk Management From iim Kashipur
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Risk quantification has emerged as a very important component to a firm’s financial well-being. This program provides training on the usage of tools used in quantification of financial risk (including market risk, credit risk and operational risk) and problems related to financial risk management. The program will provide the practitioner’s perspective in measuring various kinds of financial risks. It attempts to strike a balance between institutional details, theoretical foundations, and practical applications. The program will extensively make use of MS Excel and R.
At the end of the program, participants are expected to understand:
- How to quantify financial risk as a number with perspective of measuring it
- What is Value-at-Risk (VaR) and Expected Shortfall (ES)
- How to estimate VaR and ES (using Historical Simulation, Monte Carlo Simulation, GARCH, EGARCH, GJR-GARCH and other GARCH family models, Range based models, Extreme Value Theory) of single asset, portfolio and single asset influenced by many factors using various tools
- Basics and implementation of estimating VaR for the fixed income security
- Basics and implementation of estimating VaR for the financial derivatives (options)
- Basics and implementation of estimating VaR from perspective of credit risk measurement (CreditMetrics)
- How to measure credit risk
- Probability of default/expected default frequency and to estimate it
- Basics of estimating VaR from perspective of operational risk
- Aggregate Loss Distribution/Loss Distribution Approach
- Liquidity risk
Who should attend
- Working professionals aspiring to grow into senior roles within Risk and Compliance, Risk Consulting, Financial Risk Management etc.
- Finance based executives like Analysts, Consultants, Risk Managers, Treasurers, Auditors, Investors, Regulators etc. who are interested in learning practical application of Risk Measurement techniques.
- Business Unit Heads and Managers who desire to gain a deeper understanding of Financial Risk Management.
- Business Analysts who are involved in doing quantitative risk measurement.
- RBI and Bank professionals.