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    T2056-Financial Risk Management

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    Siddhant Singh
    The document outlines a proposed course on Financial Risk Management for the 2nd year of a Post Graduate banking and finance specialization. The course is for 2 credits and aims to help students compare different types of risk, appraise their impact on firms, and measure risk using tools like Value-at-Risk. It will cover topics like market, credit, liquidity, and operational risk over 12 topics in 30 hours. Evaluation methods include case studies, exams, risk calculations, and projects. Benchmarked courses are offered at Princeton, NUS, XLRI and IIMB.

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    T2056-Financial Risk Management

    Uploaded by

    Siddhant Singh
    224 views3 pages
    The document outlines a proposed course on Financial Risk Management for the 2nd year of a Post Graduate banking and finance specialization. The course is for 2 credits and aims to help students compare different types of risk, appraise their impact on firms, and measure risk using tools like Value-at-Risk. It will cover topics like market, credit, liquidity, and operational risk over 12 topics in 30 hours. Evaluation methods include case studies, exams, risk calculations, and projects. Benchmarked courses are offered at Princeton, NUS, XLRI and IIMB.

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    The document outlines a proposed course on Financial Risk Management for the 2nd year of a Post Graduate banking and finance specialization. The course is for 2 credits and aims to help students compare different types of risk, appraise their impact on firms, and measure risk using tools like Value-at-Risk. It will cover topics like market, credit, liquidity, and operational risk over 12 topics in 30 hours. Evaluation methods include case studies, exams, risk calculations, and projects. Benchmarked courses are offered at Princeton, NUS, XLRI and IIMB.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    224 views3 pages

    T2056-Financial Risk Management

    Uploaded by

    Siddhant Singh
    The document outlines a proposed course on Financial Risk Management for the 2nd year of a Post Graduate banking and finance specialization. The course is for 2 credits and aims to help students compare different types of risk, appraise their impact on firms, and measure risk using tools like Value-at-Risk. It will cover topics like market, credit, liquidity, and operational risk over 12 topics in 30 hours. Evaluation methods include case studies, exams, risk calculations, and projects. Benchmarked courses are offered at Princeton, NUS, XLRI and IIMB.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 3

    Sub Committee for Curriculum Development

    Banking & Finance Specialization

    Course : FP 56

    Course Name: Financial Risk Management (2nd Year PG)

    Course Code: T2056

    Number of Credits: 2

    Level:5

    Learning Objective(s)
    The student will be able to:
    1. Compare and contrast the various types of risk.
    2. Appraise the impact of different risks on the operations and performance of a firm.

    Pedagogy:
    1. Conceptual and analytical inputs through problem solving
    2. Case studies

    Pre-learning:
    1. Statistics
    2. Financial management.
    3. Security analysis and Portfolio Management
    4. Quantitative techniques.

    Benchmarked:
    1. Princeton University
    2. NUS Business School
    3. XLRI
    4. IIMB.

    5.

    Academic Year 2013-14 Page 1 of 2


    S.No. Topic Hours
    Financial Risk: An Overview, Evolution, and the Environment
    1 2
    Risks definition (market, credit, liquidity, operational), more specifically on
    2 the identification of different forms of risk (currency, interest rate, equity, 3
    commodity)
    Market Data Analysis, Introduction to Probability and distributions of asset
    3 2
    prices, measuring return and risk.
    Measuring risk using Value-at-Risk, concept and computation of VaR using
    4 Different approach, Calculating portfolio risk of more than one 2
    Assets.
    Multifactor VaR, marginal and relative VaR, Stress testing and back-testing
    5 3
    VaR, treasury applications.
    6 Conditional VaR and its relevance, Comparison between VaR and cVaR. 3
    Relaxing the Normal distribution assumption, the Cornish-Fisher VaR and the
    7 3
    Cornish- Fisher cVaR.
    Extreme Value Theory : Basic Principles, and application in Risk management
    8 3

    9 VIX –Theory and Application, 2


    Operational Risk: Operational risk, Legal Risk, Accounting risk, Liquidity risk,
    10 3
    Enterprise Risk
    Credit Risk: Probability of Default, Loss Given default, Amount owed at
    Default, Portfolio Credit risks, Credit ratings & Transition Matrix Analysis,
    11 2
    Contingent claim approach and the KMV Model, Credit Risk Management.
    Copula models in Credit Risk Management.
    Indian environment in VaR applications (NSE, BSE, NCDEX, CCIL), RBI
    12 2
    guidelines for credit & market risk management, VaR based margining.

    Course Outline

    Books Recommended
    1. Financial Risk Management : Frank J Fabozzi.
    2. Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk By
    Steve L. Allen
    3. Advanced Financial Risk Management: Tools and Techniques for Integrated Credit Risk and
    Interest Rate Risk Management (Wiley Finance) by Donald R. Van Deventer , Kenji Imai &
    Mark Mesler 

    Suggested Evaluation Methods:


    1. Case studies
    2. Exams
    3. Risk calculation and analysis using historical stock price data (suggested)
    4. Project works.

    Parallel/Similar courses the existing curriculum:


    S.No. Name of the course Institute where it was offered
    1 Financial Risk Management SIBM (B)

    Academic Year 2013-14 Page 2 of 2


    Name of Anindya
    Member Chakrabarty
    Designation

    Org. / Inst.

    Signature

    Name of the Expert: v.Ravi Kumar

    Signature:

    Date:17 August 2013

    Academic Year 2013-14 Page 3 of 2

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