CRISIL Executive Training

(1)

Market Risk Management – A Quantitative Approach

Mumbai: October 30-31, 2017

Programme Objectives

Market Risk Management programme is a very hands on programme focusing on pricing, hedging and trading of financial instruments including Bonds, Swaps, Futures, Forwards, Options and Volatility including Portfolio Mapping. This would help the Treasury and Risk professionals in understanding the various intricate quantitative nuances associated with the pricing, valuation, risk and hedging of such products. The programme also exposes participants to quantitative aspects of various Value at Risk models including Parametric Linear VaR models, Historical Simulation, Monte Carlo Simulation and VaR for Option portfolio including Scenario Analysis and Stress Testing. It also focuses on various investment risk management analysis comprising of Alpha, Risk Adjusted Performance Measures like Sharpe Ratio, Sortino Ratio, Information Ratio, Tracking Error Volatility, Surplus Risk, Budgeting Risk, Portfolio VaR, Marginal VaR, Incremental VaR, Component VaR.

The programme will benefit

Treasury and Risk Professionals of both sell-side and buy-side organizations and others e.g., Banks, Financial Institutions, Primary Dealers, NBFCs, Mutual Funds, Insurance Companies, Investment Banks, Merchant Banks, Brokers & Financial Intermediaries, Hedge Funds, Fund of Funds, Provident Funds, Pension Funds, Corporate, Regulators, Consultants, Auditors, Clearing Houses, Depository Participants, Exchanges, KPOs, BPOs, Financial Research Houses, Academicians, etc.

Duration

2 days

Course Structure DAY 1

Pricing, Hedging and Trading Financial Instruments

Session One

● Bond & Swap - Interest Rates, Spot & Forward, LIBOR

● Bonds

● Interest Rates - Present Value, Price, Yield, Yield Curves

“The programme is helpful to anyone in market risk or treasury. The special attention given to valuations is what sets the programme apart.” –Chief Manager, ICICI Bank

“The training sessions were very well organised, professional. Choice of topic is something we can carry forward in our work” – Senior Manager, Cognizant Technology Solutions India Pvt. Ltd.

“Effective excel learning for computing market risk parameters” –AGM, IDBI Bank

(2)

Classification: EXTERNAL

● Duration & Convexity - Macaulay, Modified, Convexity, Portfolio, Payment

● Forward Rate Agreements & Interest Rate Swaps - FRA, IRS, Cash Flow, Currency Swaps, Other Swaps

● Present Value of a Basis Point - PV01

● Bootstrapping, Splines Session Two

● Futures & Forwards - Bond Futures, Currency Futures & Forwards, Energy

● Relationship between Spot, Forward & Futures - No Arbitrage, Interest Rate Differentials, Fair Values

● Basis - No Arbitrage, Correlation, Basis Risk

● Hedging, Mean Variance, Minimum Variance Hedge Ratio, Performance Measures, Forex Risk, Stock Portfolio, Bond Portfolios

Session Three

● Options & Volatility - Arithmetic & Geometric Brownian Motion, Risk Neutral Valuation, Binomial Model Pricing

● Vanilla Options, Put-Call Parity, Moneyness, Pricing

● Delta Hedging, Greeks, Position Greeks, Delta-Gamma Hedging, Delta-Gamma-Vega Hedging

● Trading - Bull Strategies, Bear Strategies, Spread Strategies, Volatility Strategies, P&L Profiles Session Four

● Portfolio Mapping - Risk Factor & Sensitivities - Interest Rate Sensitivity, Option, Nominal vs Percentage

● Cash Flow Mapping - PV & Duration Invariant, Application - Interest Rate Sensitive Portfolios, Mapping Portfolios

● Option Portfolio - Taylor, Value Delta & Gamma, Delta-Gamma Approximation, Effect of Gamma, Price Beta, Time &

Interest Rate Sensitivity, Implied Volatility

● Investment Risk Management - Alpha, Risk Adjusted Performance Measures like Sharpe Ratio, Sortino Ratio, Information Ratio, Tracking Error Volatility, Surplus Risk, Budgeting Risk, Portfolio VaR, Marginal VaR, Incremental VaR, Component VaR

DAY 2

Value at Risk Models

Session One

● Parametric Linear VaR Models - Marginal & Incremental Normal Linear VaR

● Cash Flow Maps - Interest Rate, PV01, Stock Portfolios - Cash Position, Single & Multiple Currency, Interest Rate VaR of Equity Portfolio, Hedging Risks

● Linear VaR - Mixture distributions, Linear & Parametric Estimation, Exponential Weighting - EWMA VaR, Risk Metrics VaR

Session Two

● Historical Simulation - Exponential Weighting of Return Distribution, Volatility Adjustment, Filtered HS VaR

● Historical VaR - Cash Flows, Total, Systematic & Specific VaR, Equity, Forex, Interest Rate VaR

● Estimation of Expected Tail Loss - Parameters

(3)

Classification: EXTERNAL Session Three

● Monte Carlo & VaR for Option Portfolio - Concepts, Low Discrepancy, Variance Reduction, Sampling, Introduction

● Modeling Dynamic Properties - Multi-Step, Volatility Clustering & Mean Reversion, Regime Switching

● Modeling Risk Factor - Multivariate Distributions, Behavioral Models

● Linear Portfolios - Algorithms, Currency Portfolio Volatility Clustering Session Four

● Scenario Analysis & Stress Testing - Financial Risk Factors - Historical, Hypothetical, Distribution Scenario

● Stress Testing - Guidelines, Systemic Risk, Worst Case Loss

● Liquidity Risk, Volatility Clustering

● Capital Allocation: Minimum Market Risk Capital Requirements - Basel Accords, Banking & Trading Book, Regulatory Framework

Note: Participants will be required to work on their laptop during the programme.

Programme Details

Venue: CRISIL House, Central Avenue Road, Hiranandani Business Park, Powai, Mumbai 400 076.

Date: October 30-31, 2017 Timings: 09:30 am to 05:30 pm

Fees: Rs.30,000/- plus applicable taxes (non-residential) The fees include lunch and refreshments for the duration of the training.

Early Bird Discount of 10% if you register on or before September 23, 2017.

Cancellation Policy: CRISIL reserves the right to retain 25% of the fees, for any cancellations less than one week prior to the training programme and 50% of the fees in case of non-attendance. CRISIL reserves the right to accept or reject nominations at its sole discretion.

CRISIL reserves the right to reschedule/ cancel the programme at any point of time based on the circumstances.

To register for the programme, contact

Gloria D’silva/ Pema Bhutia on 022 3342 3199/ 3237

Email – [email protected]/ [email protected]

Payment Instructions

● Please pay by Cheque/ Demand Draft drawn in favour of “CRISIL Limited” and send it to Gloria D’silva, CRISIL House, Central Avenue Road, Hiranandani Business Park, Powai, Mumbai 400 076.

● Payment can also be made via NEFT. Please share the details of the payment made, to the above given email ids.

(4)

CRISIL Limited: CRISIL House, Central Avenue, Hiranandani Business Park, Powai, Mumbai – 400076. India Phone: + 91 22 3342 3000 | Fax: + 91 22 3342 3001 | www.crisil.com

Note: The instructors are independent consultants who conduct the training on behalf of CRISIL Executive Training and as such, their views do not necessarily reflect the view of CRISIL Ltd.