Financial Risk Management

Objectives

The primary objective of this programme is to bring together both experienced and young risk analysts and managers, and to equip them with:

1. Insights into the role of the risk management department in a financial institution.
2. In-depth understanding of key issues in measuring and managing market risk and credit risk, and how to calculate capital charge as per the Basel norms.
3. An appreciation of importance of other risks including liquidity risk, model risk and operational risk and role of backtesting and stress testing and
4. Perspectives on prevailing and evolving regulatory norms in relation to Basel 2.5, FRTB and additional requirements under Basel 3.

Contents

• The business of banks and financial institutions and the environment they operate in
• Risks facing banks and financial institutions and role of the risk management department
• Market risk management
  • Value at Risk and Expected Shortfall
  • Basel norms on market risk: The standardized approach vs the internal models approach
• Credit risk management
  • Probability of default and expected loss
  • Basel norms on credit risk: The standardized approach vs the internal ratings based approach
• Other risks and associated regulatory norms: Liquidity risk, model risk & operational risk
• Backtesting and stress testing
• Fundamental Review of Trading Book (FRTB) and additional requirements under Basel 2.5 and Basel 3

Who Should Attend

This programme is designed for professionals in middle to senior management roles in financial institutions. Potential participants include Risk Analysts, Quantitative Analysts, and Risk Managers in public and private banks.

The programme is particularly relevant for those seeking to deepen their expertise in financial risk management, regulatory compliance, and strategic decision-making in banking and financial services.

Pedagogy

The programme would be predominantly based on cases drawn from real world problems faced by banks and financial institutions. The use of cases would be complemented by lectures, guided exercises and group presentations.