Course Category

• Concept of interest rate risk
• Different types of interest rate risk
• Impact of interest rate risk on target measures such as Net Interest Income (NII) and Economic Value of Portfolio Equity (EVPE)
• Techniques of measuring interest rate risk such as Gap Analysis, Duration and Convexity

Liquidity Risk

• Concept of liquidity and liquidity risk and its importance to banks
• Various liquidity measurement systems
• Practical tools and techniques to monitor liquidity
• How to incorporate liquidity into VaR Limits

Equity Risk

• Equity risk and its components
• The various methods of measuring equity risk
• The growing importance of diversification and its impact on equity risk

Foreign Exchange Risk

• Concept of foreign exchange exposure, rate and risk
• Sources of foreign exchange risk
• Various regulatory issues

Commodity Risk

• The concept of commodity risk
• The determination of price in the commodity market
• The measurement of commodity risk using maturity model and simplified approach

Portfolio Risk

• The concept of portfolio risk
• The importance of diversification of portfolio
• The different types of risk exposures
• The methods of measuring portfolio risk
• How to minimize portfolio risk using the techniques of indexing and immunization

Value at Risk

• Concept of value at risk
• Parameters associated with value at risk
• Various facets of value at risk
• Advantages, disadvantages and application of value at risk

Regulatory Issues

• How market risk can be regulated
• The purpose of regulatory capital
• The various approaches applied to capital charges

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