Elective
Paper - XI : Risk Management
Module
- A: An overview
Risk definition / policies
Risk Process-Risk Organization
Key risks-Credit risk, market risk, operational
risk, liquidity risk, legal risk, interest
rate risk and currency risk
Asset Liability Management
ALM Concept
ALM organization
ALCO techniques / tools
Simulation, Gap, Duration analysis, Linear and
other statistical methods of control
Risk measurement & Control
Calculation
Risk exposure analysis
Risk management / mitigation policy
Risk immunization policy / strategy for fixing
exposure limits
Risk management policy and procedure
Risk adjusted return on capital
Capital adequacy norms
Risk management
Capital adequacy norms
Prudential norms
Exposure norms
Concept of Mid office
Forwards
Futures
Options
Strategies and Arbitrage opportunities
Regulatory prescriptions of risk management
Module
- B : Credit Risk Management
Introduction
Basel Norms
Three pillars of Basel Norms and Capital for
Operational risk
Frame work for risk management
RBI guidelines on risk management
Risk rating and risk pricing
Methods for estimating capital requirements
Credit risk - standardized approach
Credit risk - advanced approach
Credit rating / credit scoring and rating
system design
Credit Bureaus
Stress test and sensitivity analysis
Internal Capital Adequacy Assessment Process
(ICAAP)
Introduction to structured products
Module
- C : Operational Risk
Introduction, Basel Norms
RBI guidelines
Likely forms of operational risk and causes
for significant increase in operational risk
Sound Principles of Operational Risk
Management (SPOR)
SPOR - organizational set up and key
responsibilities of ORM
SPOR - policy requirements and strategic
approach for ORM
SPOR identification, measurement, control /
mitigation of pperational risks
Capital allocation for operational risk,
methodology, qualifying criteria for banks for the adoption of the methods
Computation of capital charge for operational
risk
Module
- D : Market risk
Introduction and definition
Prescriptions of Basel Norms
Liquidity risk
Interest rate risk
foreign exchange risk
Price risk (Equity)
Commodity risk
Treatment of market risk under Basel
Standardized duration method
Internal measurement approach
- VaR Module - E: Risk Organization and Policy
Risk Management Policy
Inter - linkages to - Treasury
Credit
ALCO
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