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RMCM-P11
PGDM 2011-13: Term-V

Course Name: Risk Management & Capital Measurement in Banks (RMCM)
Credits 3 Credits
Faculty Name Asit Mohanty
Program PGDM II
Academic Year and Term 2012 – Term 5

1. Course Description

Module 1: Introduction to Risk Management in Banks – 1 Sessions

Module 2: Standardised Approach to Credit Risk Management – 4 Sessions

· Asset Classes and Computation of Risk Weighted Assets
· Major Drivers of Credit Risk: Modeling Techniques
· Borrower Rating Model(Empirical Approach)
· Portfolio Credit Risk Modelling
· PD Estimation: Pooled Method & Transition Matrix
· Rating Stability
Module 3: Internal Rating Based Approach (IRB) to Credit Risk– 8 Sessions

· Z Score Model
· Logit Model
· Option Theory Approach-Market Based Default Predictor Model of MKMV
· Validation of Credit Risk Models
· Discriminatory Power of Credit Risk Models
· Counterparty Credit Risk for Derivative Exposures
· Comprehensive Approach to Credit Risk Mitigation
Module 4: Market Risk & Operational Risk – 4 Sessions

· Basic Indicator , SA & IM Approach to Operational Risk
· Modified Duration and Advanced Approach to Market Risk
Module 5 : Capital Structure & Computation of Economic Capital – 2 Sessions
· Capital Composition
· Rules of Capital Allocation

Module 5 : Overview of Basel III

2. Student Learning Outcomes

· This course has been designed to address the concerned issues with the purpose of providing increasing knowledge and capacity to the BFSI sectors in order to estimate, mitigate and manage the risks.
· Therefore, Basel I, II & III approaches for Risk Management are emphasized throughout.
· This course will be very instrumental for final placement in Banking, Consulting & IT Sector.

3. Required Text Books and Reading Material

Term Book

1. Financial Risk Management By Vivek & Asthana
2. Internal Rating Approach: Reserve Bank of India Publication
3. International Convergence of Capital Measurement and Capital Standards: A Revised Framework Comprehensive Version, June 2006, Bank of International Settlement Publication
4. Guidelines for Implementation of the New Capital Adequacy Framework(NCAF) April 2008: Reserve Bank of India Publication
5. Power Points as discussed in the classroom
Reference Material

· Credit Risk Management & Basel II , An Implementation Guide: Bhatia Mohan, Risk Books Publication,2006


· Credit Risk Measurement : Saunders Anthony, John Wiley & Sons, 1999

· Fundamentals of Risk Measurement : Marrison Chris, Tata McGRAW-Hill Edition 2005

· Discussion Papers on Implementation of the Basel II Capital Framework: Australian Prudential Regulation Authority (APRA), http://www.apra.gov.au/ADI/Basel-II-implementation-in-Australia.cfm

· Collection of Reading Materials : Sources – Bank of International Settlement(BIS) & Reserve Bank of India(RBI)

5. Evaluation
Components
Weights (%)
Two Quizzes
30%
Mid Tem
30%
End Term
40%


6. Academic Integrity

· Academic Integrity will be adhered as per the norms and policy given by the Institute.
· Students identified with side talking will be asked to leave the class immediately.
· Cell phones are not allowed in the class
· Negative Marks can be given in CP.
Created By: Debasis Mohanty on 07/30/2012 at 11:38 AM
Category: PGDM-II Doctype: Document

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