Market Risk Analytics (Theory and Application)

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Identifying, quantifying, and analyzing the amount of risk involved in investments is an important process in Risk Management. The focus of this program is on presenting the state of art quantitative methods used for analysis of market risk. The first module of the program deals with analyzing asset price volatility and explain the volatility using ARCH and GARCH models. This is followed module on risk models, Value at Risk, Conditional Value at Risk, Monte Carlo Simulation and Historical Simulation. The last module deals with pricing of options and analyzing the impact of volatility on option prices.

The MDP aims to discuss empirical aspects of market risk analytics using python. It covers a wide range of topics including univariate and multi variate techniques of modeling market risk, techniques of option pricing and simulation techniques of risk modeling. Empirical evaluation of market risk with advanced econometric techniques using pythons makes the program contemporary in the present time.

- Predictive analysis of investment decisions using Time Series Modeling. (a) Univariate Time series modeling to analyze stock return (b) Model building and forecasting stock returns - Introduction to Simulation (Wiener process / Geometric Brownian Motion) and Simulating Stock Price movements using Geometric Brownian Motion • Estimating VaR Using Simulation

Professionals working in manufacturing, trading and service organizations, including banks and NBFCs. The graduates who wish to advance their careers in the fields of supply chain management can also enroll.

Course Details

Venue Online
Duration 12 Hrs.
Starts On Feb 23, 2024
Faculty Prof. Poonam Singh

Fees Details

Duration Professional Fee*(Per participant) GST(18%) Total Fees(Per Participant) Programme Code
12 Hrs. 6,500.00 1,170.00 7,670.00 1 24 4 68
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