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SYLLABUS

UNIT- I

Introduction to Risk Management: Risk Management Overview - Types of Risks -Impact of Risk on Organizations- Scope of Risk Management- Risk Management Levels, Risk Management Process - Risk Models- Risk Identification and Measurement.

UNIT - II

Risk Management and Measurement: Risk Management Tools, Regulatory Framework - Capital Adequacy Requirements - Interest Rate Risk, Liquidity Risk, Market Risk, Credit Risk, Exchange Rate Risk, Value at Risk (VaR), Cash Flow at Risk (CaR).

UNIT- III

Risk Management Techniques - Forward and Future Contracts: Pricing Forward Contracts, Foreign Currency Forward Contract, Commodity Forward Contract, Counterparty Risk in the Forward Contract, Future Contracts, Cash Vs Physical Delivery, Pricing Future Contracts, The Role of Expected Future Spot Price, Impact of Financial Market Imperfections.

UNIT- IV

Risk Management Techniques - Options: Structure of Option Market, Types of Options, Option Strategies, Exercise Price and Option Values, Principles of Call Option Pricing and Put Option Pricing, Put - Call Parity theorem, Option Values and Cash Payouts, Option Pricing, Arbitrage Pricing and the Binomial Model, The Black- Scholes and Mertin Model.

UNIT - V

Risk Management Techniques – SWAPS: SWAP Market and its Evolution, Pricing and Valuing - Interest Rate Swap, Pricing and Valuing - Currency Swap, Pricing and Valuing - Equity Swap, Pricing and Valuing – Commodity Swap, Swaptions.