2016-10-05_00h22_06

Basel Norms and Regulations with Excel

 

Day 1 & 2 – Market Risk Modelling – General Risk Capital charge & specific Risk Capital charge using VaR Approach,Understanding of other standardized Approaches, Modelling Volatality using EWMA and GARCHE Model, Value at Risk for Linear & Non-Linear Instruments using Parametric (Local Valuation) or Non-Parametric (Full Valuation-Monte Carlo Simulation & Historical Simulation), Portfolio VaR, Back testing & Stress Testing.

Day 3 & 4 – Credit Risk Modelling – Standardized Rating based Approach, Advanced Internal Rating based Approach, ASRF Framework, Capital Charge for Securitization Exposures, Capital Charge for counter party Credit Risk,
Day 5 & 6 – Operational Risk Modelling – Calculation of Capital – Basic indicator, Standardized and Advanced Measurement Approach, Copulas and Correlations – Gaussian, T, Gumbel, Frequency distributions, Modelling size of losses using Excel: Severity distributions, Modelling Insurance, Aggregate loss modeling- Convolution and Monte Carlo Simulations.