Market Risk Analytics (Theory And Application)

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Identifying, quantifying, and analyzing the amount of risk involved in investments is an important process in Risk Management. The focus of this program is on presenting the state of art quantitative methods used for analysis of market risk. The first module of the program deals with analyzing asset price volatility and explain the volatility using ARCH and GARCH models. This is followed module on risk models, Value at Risk, Conditional Value at Risk, Monte Carlo Simulation and Historical Simulation. The last module deals with pricing of options and analyzing the impact of volatility on option prices.

The MDP aims to discuss empirical aspects of market risk analytics using python. It covers a wide range of topics including univariate and multi variate techniques of modeling market risk, techniques of option pricing and simulation techniques of risk modeling. Empirical evaluation of market risk with advanced econometric techniques using pythons makes the program contemporary in the present time.

? Introduction to financial markets and market prices ? Asset returns: volatility clusters, fat tails, and nonlinear dependence ? Explaining return volatility using ARCH and GARCH model. ? Condition mean Model ? Conditional Volatility Model (Workout: Estimating ARCH, GARCH models with real life data using python and analyzing estimates and its implications) ? Explaining return volatility using Multiple Univariate Conditional Volatility models ? Constant Conditional GARCH (CCC-GARCH Model) (Workout: Estimating CCC-GARCH models with real life data using python and analyzing estimates and its implications) ? Introduction to Black-Scholes Model ? Simulating Stock Price Dynamics using Geometric Brownian Motion (Workout: Simulating Stock Price Dynamics with real life data using python and analyzing estimates and its implications) ? Pricing European Option using Simulation (Workout: Price European Option using Monte Carlo Simulation using python) ? Pricing American Option using Simulation (Workout: Price American Option using Least Squares Monte Carlo Simulation in python) ? Estimating VaR Using Monte Carlo Simulation (Workout: Estimating VaR using Monte Carlo Simulation in python)

Researchers, Academicians and industry professionals

Course Details

Venue Online
Duration 18 Hrs.
Starts On Mar 24, 2023
Faculty Prof. Ajaya Kumar Panda

Fees Details

Duration Professional Fee*(Per participant) GST(18%) Total Fees(Per Participant) Programme Code
18 Hrs. 9,000.00 1,620.00 10,620.00 1 23 4 67
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