Summary

Learning Outcomes

• The programme takes the participants through the various measures and framework proposed by the regulator (RBI) for the financial institutions to manage the market risk
• The programme helps the participants to understand, implement and use the various tools/models to manage the market risk in their organisation
• The programme equips the participants with the necessary expertise to design and implement the market risk management policy and the processes required for effective Asset Liability Management in the organisation

Who should attend?

• Risk Management Staff, Finance Staff
• Treasury Staff, ALM Group
• Internal Audit Staff
• Business Groups (Assets and Liabilities)
• IT Staff engaged in implementing Market Risk and ALM Models

Course Content

Day 1.

Session 1

Market Risk Management as per Basel Framework

Discussions on the sources of different types of market risk, risk dimensions and management of the various market risk components

• Segmentation of bank’s balance sheet into Trading Book and Banking Book
• Market Risk in the Trading Book
• Market Risk Management Tools

Interest Rate Risk- Sources
 

• Gap Risk
• Basis Risk
• Yield Curve Risk

Foreign Exchange Risk

Equity Price Risk

Day 2.

Session 2

Management of Interest Rate Risk [IRR] in the banking book

Discussions on the types of impact to the balance sheet on account of interest rate risk in the banking book

Investment Management in Banks

Discussions on the prescriptions of RBI relating to investments and the strategies available for banks to manage investments

Stress Testing in Banks

Discussions on stress testing and the stress testing methodologies relating to market risk

Trainer Profile

Trainer is a seasoned banker with experience of more than 2 decades in credit and risk management and practical banking. He has rich experience in developing risk management policies, practices, tools and processes and has also implemented risk management including ORM framework & BCM and managing risk in banking in India and in multinational banks.

 

Training dates - March 04-05, 2026

Training fees - ₹ 20,000 + applicable taxes