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Market Risk Management: Interest Rate Risk
Module Fees
Rs. 2500/-
Access period
3 months
Learning time
3 hours
In this eLearning module on Market Risk Management: Interest Rate Risk, you will be introduced to Market Risk Measurement. You will learn about the types of market risks, how to measure market risk. You will also learn about the interest rate risk and how this risk is managed.
Why this course is right for you
Real life case studies
Real life case studies built leveraging our expertise in research, ratings & risk solutions
Interactive examples
Interspersed with practice exercises and interactive examples to help apply concepts
Expert Speak
Insights incorporated in eLearning, based on 15+ years of classroom training experience
Knowledge checks
Knowledge checks at the end of each topic to ensure absorption of concepts
Glossary & Resources
End to end structure comprising basic definitions to advanced readings
Gamification
Final assessment questions & gamification at the end of the module to ensure learning objectives are met
TOPIC |
SUB-TOPIC |
| Market Risk |
• Market Risk Loss for Banks • Market Risk Framework • Organizational set up for Market Risk Management • Types of Market Risk • Stand-alone risk and Portfolio Risk |
| Tools and techniques for measurement of market risk |
• Measurement of market risk • Modified Duration & Convexity • PVBP • VaR Approach • Simulation • Stress testing |
| Interest Rate Risk (IRR) management |
• IRR in Bank’s Balance Sheet • Interest Rate Risk in the Banking Book [IRRBB] |
| Sources of IRRBB |
• Repricing risk (Gap risk) • Yield Curve Risk • Basis Risk • Embedded Options Risk • Effects of Interest Rate Risk in the Banking Book [IRRBB] |
| RBI’s guidelines for measurement and management of IRR |
• Methods of Interest Rate Risk Measurement • Traditional Gap Analysis [TGA] Model • Duration Gap analysis [DGA] Model • Statement of Interest Rate Sensitivity – Time buckets • Reporting of the Interest Rate Risk position to RBI |
| Traditional Gap Analysis [TGA] Model |
• Traditional Gap Analysis Model • Exercise • Impact of Interest Rate Risk measured through TGA Model • Managing IRR through TGA Model • Limitations of Traditional Gap Analysis Model |
| Duration Gap analysis [DGA] Model |
• Duration Gap Analysis Model • Computation of Duration Gap • Exercise • Impact of Interest Rate Risk measured through DGA Model • Managing IRR through Duration Model • Limitations of Duration Gap Analysis Model |
| BCBS guidelines on IRR management |
• Components of interest rates as given by Basel Committee on Banking Supervision (BCBS) • Components of a non-traded pure loan • Measurement methods of IRRBB • Earnings based measure • Economic value based measure • Limitations in IRRB estimation • Management and control of Interest Rate Risk • BCBS Principles of IRR Management |
Steps to purchase
- Go to Crisil Learning platform https://training.crisil.com/
- On https://training.crisil.com/ (Crisil Learning platform) – sign up to create your unique login ID and password
- Once your account is set up, search for "Market Risk Management: Interest Rate Risk" from the search bar
- Select the e-learning module - Market Risk Management: Interest Rate Risk, and click on buy now; it will get added to your cart
- Click on 'Cart' and purchase the module(s) with your debit or credit card
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Frequently asked questions
Access to topics will be provided via our e-learning platform - training.crisil.com. You will need to create your login ID and password to set up your account. Post this, you can select the module and click on the 'Buy now' option. The selected module will be moved to the 'Cart' for payment via debit or credit card.
The modules are accessible for a period of 3 months from the date of purchase of the modules.
The mode of instruction is only via online.
The modules are self-study modules. They are interactive with animations, and also have 'knowledge checks' to assess the user on the concepts.
The modules cannot be accessed on mobiles or tablets. The only recommended mode is desktop or laptop.
The modules are accessible only on the online platform.
The modules are accessible any number of times for 3 months, from the date of enrolment.
You can email your queries to Crisil1Academy@crisil.com.
For any queries please contact to Pooja Yadav +91-7777073996 or write to us at
Crisil1academy@Crisil.com.
