Financial Risk Management

Paper Code: 
EMF 623
Credits: 
4
Contact Hours: 
60.00
Objective: 
  • To create awareness of the regulatory frame works, best practices and accounting & Legal Issues.
12.00
Unit I: 

Conceptual and Basic: Concepts like Systematic, non-systematic risks, total risks, Levels of Uncertainty, risk and return.

12.00
Unit II: 

Risk Exposures and their identification: Business risk-types of risks, measurement of risk, risk optimization-other business risks. Financial assets, their characteristics, scope of FRM.

12.00
Unit III: 

Financial Risks, Options, Futures and derivative Securities. Assessment of financial asset risks, interest rate & debt securities, value at risk. CAR, Operational risks in banks, basel II committee recommendations.

12.00
Unit IV: 

Basic arbitrage ideas, introductions to arbitrage pricing theory, the binomial option pricing models, the Black-Scholes Analysis, American Options and other instruments with early exercise features. Use of Financial ratios in RM.

12.00
Unit V: 

Equity Options, Stochastic Volatility, monte Carlo, Simulations, introduction to interest rate sensitive securities, recent development and trends.

 

*A minimum of one case study will be discussed per unit of the syllabi.

References: 

Text Books:

  1. By Dun & Bradstreet-Data Mc Graw Hill.

Suggested Readings:

  1. The Essentials of Risk Management-Michel Crooney-Dan Galai-Robert Mark-Mc Graw Hill.
  2. Risk Management and Insurance-William Junior-Michel L Smith- Peter Young-Mc Graw Hill.