FINANCIAL RISK MANAGEMENT

FULLY SOLVED BOOK LASY 5 YEARS PAPERS SOLVED PLUS GUESS

FINANCIAL RISK MANAGEMENT


UNIT-I: Financial Risk: An Overview, Evolution, and the Environment. Risks definition (market, credit, liquidity, operational), more specifically on the identification of different forms of risk (currency, interest rate, equity,
commodity).

UNIT-II: Market Data Analysis, Probability and distributions of asset prices, measuring return and risk, Modeling Risk Factors, Using implied volatility in Value-at-Risk measures Risk and volatility Measurement, the issue of time aggregation, different measures of volatility such as EWMA, ARCH & GARCH processes, volatility clusters and the issue of time varying volatility. (N.P)

UNIT-III: Risk & Forecasting issues in asset prices (exchange rates & interest rates), modeling interest rates such as Cox-Ingersoll-Ross Models, ARMA processes in generating currency forecasts and using in decision making. Currency risk analysis in global investing, interest rate parity (covered and uncovered), yen-carry trade syndrome, risk environment in Indian forex markets, forwards and non-deliverable forwards, cross-currency risk analysis. (N.P)

UNIT-IV: Credit Risk Basics: Probability of Default, Credit ratings & Transition Matrix analysis, Contingent claim approach and the KMV Model,Credit Risk Management and Credit VaR. Indian environment in VaR
applications (NSE, BSE, NCDEX, CCIL), RBI guidelines for credit & market risk management, VaR based margining.

UNIT-V: Operational and other key Risks: Overview of operational risk, liquidity risk , funding risk . Interaction of Market, credit and liquidity risks. approaches in modeling operational risks. Operational and other key Risks: Overview of operational risk, liquidity risk, funding risk. Interaction of Market, credit and liquidity risks. approaches in modeling operational risks. Case studies on operational risk events and market risk losses in history and recent past. (N.P)