Credit Risk Management: Counterparty Credit Risk Assessment of derivatives and structured products, margin and collateral requirement, Credit Derivatives and structures, Structured and Repackaged Notes, Credit Default Swaps (CDS), Risk Management of Credit Derivatives using Credit Spread Options, Credit Spread Forwards, and Swaps.
Credit Risk Modeling: KMV Portfolio Manager, JP Morgan’s Credit Metrics, Credit Suisse First Boston (CSFB), Credit Portfolio Management and others.
Market Risk Management: Mathematical foundation of Market Risk Measures, Interest Rate Risk and Economic Value of Equity, Liquidity Risk and Liquidity-adjusted VaR, Equity Risk and Risk Management, Foreign Exchange Risk and Risk Management, Commodity Risk and Risk Management, Portfolio Risk and Risk Management, Volatility and Correlation Measures, Sensitivity Analysis, Stress Testing, Scenario Analysis, VaR Models and Advanced Measures, Case Studies.
Operational Risk Management: Fundamentals of operational Risk, ORM Framework, Basic Measures such as Key Risk Indicators, Loss Data approach, Risk & Control Self-Assessment. Estimation of Potential Loss, Introduction to Operational Risk Models (Loss Distribution Approach, Capital Modeling).