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Frm Basic Training

Financial Risk Management Basic Training Introduction

Financial Risk Management Basic Training Course Content

Foundations of the Risk Management
  • Value creation with the risk management
  • Market efficiency, equilibrium & the CAPM
  • Performance measurement & attribution
  • Sharpe ratio, information ratio, & tracking error
  • Factor models & APT
  • Risk management failures & case studies
  • Ethics
Quantitative Analysis
  • Probability distributions
  • Estimating parameters of the distributions
  • Linear regression & correlation, hypothesis testing
  • Statistical inference
  • EWMA, GARCH models
  •  Maximum likelihood methods
  • Volatility term structures
  • Simulation methods
Financial Markets & Products
  • Mechanics of the futures markets
  • Hedging strategies using futures (minimum variance hedge ratio)
  • Determination of forward & futures prices
  • Interest rate futures
  • Swaps
  • Properties of the stock options
  • Trading strategies involving options
  • Commodity forwards & futures (cost of carry, lease rate, convenience risk, basis risk, exchanges & strategies)
  • Foreign exchange risk
  • Corporate bonds
  •  Measuring portfolio exposure
Valuation & Risk Models
  • Value at the risk (delta-normal valuation, full revaluation, historical simulation, & Monte Carlo simulation methods)
  • Applications of VaR for market, credit, & operational risk
  • VaR of linear & non-linear derivatives
  • VaR for fixed income securities with embedded options
  • Structured Monte Carlo
  • Stress testing & scenario analysis
  • Term structure of interest rates
  • Discount factors, arbitrage, & yield curves
  • Bond prices, spot rates, & forward rates
  • Dollar value of a basis point, duration, & convexity
  • Duration based hedging
  • Binomial trees & Black-Scholes-Merton model
  • Option Greeks
  • Credit rating agencies, credit ratings
  • Credit transition matrices
  • Sovereign risk & country risk evaluation