Applied Financial Risk Management

Upon Successful completion of the program, participants

• Understand the risk and risk management framework
• To Identify the different types of financial risk faced by a financial institution
• Learn the quantitative techniques required for measurement of risk
• Understand the valuation and risk models
• Learn how to measure and manage market risk
• Understand the approaches to credit risk measurement and management.
• Apply a practical approach to measure, monitor and manage the financial risk of a financial institution

• Basic risk types, measurement and management tools. Absolute Vs Relative Risk Evaluation of Risk Measurement Process Comparing Multiple Assets.
• Risk Adjusted Performance, Portfolio of financial assets, Efficient Portfolios, CAPM, APT, Multifactor Models etc.
• Quantitative Analysis: Risk & Standard Deviation, discrete random variable, continuous random variable, Variance and Standard Deviation, Standard Deviation with Decay, EWMA.
• Market Risk: VaR, Delta Normal VaR, Historical VaR, Hybrid VaR, Cornish Fisher VaR, Back Testing.
• Expected Shortfall & Extreme Value Theory, Portfolios and Correlations.
• Credit Risk – Default Rusk and Pricing, Bond Pricing, Default recovery, Risk Neutral Default Estimates vs Actual Default Estimates Yield, Determining the Probability of Default, Traditional Rating Approaches, Quantitative Approaches, Portfolio Credit Risk, Monte Carlo Simulation.
• Financial Risk Management and Regulation: Basel Accords – III & IV.

Professionals working in financial institutions and executives in finance and accounts departments of manufacturing, trading and service organizations. The graduates who wish to advance their careers in supply chain management can also enroll.

1. Registration Closed

   If you/your organisation are interested in this program and would like to learn more, contact us at program@iimmumbai.ac.in