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Who Should Attend

Regulators, supervisors, risk managers, analysts, auditors, government officials, Business Studies students and other professionals who wish to strengthen their knowledge of this important aspect of risk management.

Course Overview

Risk Management and Stress testing have gained added prominence as a result of the recent financial crisis. The course will demonstrate the latest techniques and how stress testing needs to be part of the culture in banks within the framework of BASEL.


The course will benefit all participants who are working in financial institutions or are studying Business studies and have the aim to establish career in the financial sector. The course will be especially helpful for Banking and non-banking career, Wealth Management, Asset Management, Financial Planning, Investment Banking, Consultancy etc. The course has been designed in mainly two part. The first part will deal with building blocks of risk management and is essential for understanding the second and crucial part of the course.  Basic understanding of MS excel is helpful but not mandatory for the course. For quantitative analysis MS Excel will be used and various techniques will be taught so that participants will be able to develop good risk management Model.

Objectives of Course
  • Plan stress test programs that meet the needs of risk governance
  • Specify type of risks to be considered:  market, credit, liquidity, equity and commodity prices and operational risk 
  • Choose an appropriate stress-testing methodology (sensitivity, scenario, extreme value, etc.) For each type of risk
  • Design scenarios (historical and hypothetical) and type of shocks (individual market variables or underling correlations.
  • Determine the information requirements for the effective application of stress testing
  • Record and report stress test information effectively to management.
We Know What You Need To Know
Course curriculum


Qualitative Analysis
Introduction to Risk Management
Enterprise Risk Management
Risk of Financial Intermediation
Real Life Example of Risk Management Failure
Benefits of Financial Disaster
Systematic Vs Idiosyncratic Risk
Various Types of Risks

  • Interest Rate Risk

•    Introduction
•    Types of Interest Rate Risk
•    Impact of Interest Rate Risk
•    Understanding Duration
•    Understanding Convexity
•    Measuring Interest Rate Risk I
•    Measuring Interest Rate Risk II

  • Market Risk

•    How to measure market risk
•    How to hedge market risk

  • Credit Risk

•    Understanding credit risk
•    Credit Derivatives and Credit Var
•    Understanding Securitization

  • Off-Balance Sheet Risk
  • Technology and Operational Risk
  • Foreign Exchange Risk
  • Sovereign Risk
  • Liquidity Risk
  • Mortality Risk
  • Longevity Risk
  • Modeling Risks
  • Regulatory Risk
  • Contagion Risk

Basel 1 to Basel 3: How Risk management Evolved

  • Three Pillars of BASEL II ACCORD
  • Tier I Capital Component
  • Tier II Capital Component
  • Tier III Capital Component


Quantitative Analysis
Measuring Risk

  • Value at Risk

•    Historical Simulation Approach
•    Variance-Covariance Approach
•    Monte Carlo Simulation Approach

  • Problems with Value at Risk
  • Scenario & Sensitivity Analysis
  • Stress Testing
  • Why Stress Testing
  • Uses of stress testing
  • Characteristics of well-designed stress testing
  • Relationship to risk management and Value at Risk (VaR)
  • Stress Testing under BASEL Framework
  • Beyond Value at Risk

Uses and Limitations of Quantitative Risks
Managing Risks (Strategy and Real World Application)
•    Futures
•    Forwards
•    Options
•    Swaps
•    Credit Derivatives
•    Other risk management techniques