CERTIFICATE PROGRAM IN DERIVATIVES VALUATION AND RISK ANALYTICS

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1 INDIAN INSTITUTE OF QUANTITATIVE FINANCE Center of Excellence in Quantitative Finance and Financial Engineering CERTIFICATE PROGRAM IN DERIVATIVES VALUATION AND RISK ANALYTICS

2 ABOUT THE COURSE Finance professionals as well as non-finance professionals (software developers, business analysts, credit analysts, etc.) who want to move into finance often want to learn to develop derivatives valuation and risk analysis models. Even experienced risk management professionals who have the theoretical background of the risk management models, find theirs skills to be inadequate when it comes to implementing the models. For them having the theoretical background is not enough to actually implement these models in practice. Very often these models are implemented in VBA. This is why we have designed this course tailor-made for imparting these skills. This program is designed for people who have prior programming knowledge in any language and want to move into risk management or derivatives valuations field and want learn to develop applications related in these areas. This is an implementation-oriented course in which practicing Risk Modellers, Investment Bankers and Treasury Professionals teach the latest valuation techniques and risk modeling skills that are used in the industry. This course starts with learning basic tools and theories related to the field and goes on to learning implemention of valuation models of derivative instruments of various asset classes using the models being used in the industry and then learning to carry out risk analysis and implement various risk models for various asset classes. I had attended the program in ' Certificate Program in Advanced Financial Modelling using MS Excel and VBA Programming by Indian Institute of Quantitative Finance. I would highly recommend it not only for its content, which is very relevant for professionals in finance, risk and statistics, but also for the sincerity and passion with which Abhijit Biswas taught us. Can you think of a course where the students have to remind the professor for a break! His teaching style is very lucid and the build up to the lectures excellent. Ditto for the other professors. I have gained immensely from the program and like to thank IIQF for the same. I wish them success in all their future programs. - Abbas Gillitwalla, Vice President, Kotak Securities

3 COURSE OBJECTIVE This is an implementation oriented course, with extensive focus on learning to program codes in VBA. The objective is to develop derivatives valuation and risk model implementation skills in VBA for creating MS Excelbased models for investment banking and risk professionals. The assignments are designed to be similar to assignments delegates will encounter in their jobs. COURSE HIGHLIGHTS This course is taught by experts in the development of high-end risk management systems and investment banking financial applications who have domain expertise in both investment finance as well as software programming, so they are able to bring to the students their practical knowledge, implementation expertise and deep insights related to developing relevant real-world investment finance related applications. COURSE DETAILS Course duration 60 Hours Course schedule Saturdays and Sundays Course fee INR 40,000/- (Group discount available) COURSE PREREQUISITES Good knowledge of MS Excel Exposure to undergraduate level mathematics Good knowledge of finance, financial markets and products Good knowledge of programming in any language (preferably VB/VBA)

4 PEDAGOGY The basic approach is to learn by doing. The training will be imparted through instructor-led interactive sessions with extensive use of real world Derivatives Pricing and Risk models implementation in Excel VBA. The pedagogy involves: Lecture sessions on the theoretical background using the whiteboard. Live implementation of the models in VBA where the faculty develops the program codes along with the students during the lecture sessions. Home assignments. Course materials will be made available and would include: Course notes Excel Spreadsheets models and VBA codes LEARNING OUTCOME Delegates will learn to : Write VBA programs to implement complex Monte Carlo Simulations in Excel Write VBA programs to implement Derivatives Pricing Models Write VBA programs to implement Value-at-Risk forecasting models WHO SHOULD ATTEND Financial Analysts Research Analysts Risk Analysts Credit Analysts Investment Managers Finance Controllers Subject Matter Experts Managers from corporates Business Analysts Management students IT Professionals

5 INDIAN INSTITUTE OF QUANTITATIVE FINANCE Indian Institute of Quantitative Finance (IIQF) is established as a center of learning in the field of Quantitative Finance and Financial Engineering. IIQF is founded by leading finance professionals and entrepreneurs with extensive global experience and expertise in specialized Quantitative Finance and Risk Management domains and educational background from the best of global institutions. It is the first institute of its kind in India that exclusively focuses on this extremely specialized field. IIQF conducts specialized courses and corporate training programs in the fields of Quantitative Finance, Financial Risk Management, Financial Modelling, Simulations and Econometrics and Advanced Quantitative Techniques. There are specialized courses tailored to the specific needs of investment banking and other finance verticals. These courses aim to equip professionals for careers that require sophisticated technical skills in quantitative analysis, financial research, investment banking, risk management, quantitative asset management and financial derivatives structuring. There are specialized courses tailored to the specific needs of finance professionals, engineers, mathematics/statistics graduates, management graduates, qualified accountants, and others. BOARD OF GOVERNORS Dr. M.P. Rajan, School of Mathematics, Indian Institute of Science Education & Research. Previously he has been an Associate Professor with the Dept. of Mathematics, IIT-Guwahati. He had worked with Goldman Sachs as Quant Analyst. Dr. Binay Kumar Ray, AVP Quantitative Risk Team, Nomura (formerly Lehman Brothers). Abhijit Biswas, Director and Head of Product Development at Risk Infotech Solutions. Anisa Maljee, Ph. D candidate in Financial Risk Management, University of Durham, UK.

6 PROFILE OF OUR TRAINING PARTICIPANTS Our training programs have attracted participants from organizations like : Reserve Bank of India, JP Morgan Chase, NSE, BSE, Nomura, Lehman Brothers, KPMG, HSBC Bank, Deutsche Bank, Barclays Bank, Bank Of America, CITI Group, Merrill Lynch, Societe Generale, Ernst & Young, Morgan Stanley, CitiBank, Accenture, Thomson Reuters, Boston Analytics, Standard Chartered Bank, ING, State Bank of India, ICICI Bank, Axis Bank, HDFC Bank, S.I.D.B.I, Scotiabank, South Indian Bank, Union Bank of India, IndusInd Bank, Bank Of Baroda, Centurion Bank of Punjab, Development Credit Bank, ICICI Prudential Life Insurance, Birla Sun Life Insurance, Reliance Life Insurance, Stock Holding Corporation of India, Clearing Corporation of India, CRISIL, Genpact, Reliance Industries Ltd., TCS, Oracle Financials, 3i Infotech, Polaris Labs, GlobeOp Financial Services, Intelnet Global Services, UTI AMC, TATA Capital, Kotak Securities, Birla SunLife AMC, Edelweiss Securities, JM Financial Asset Management, Brics Securities, HDFC Mutual Fund and more. The professional designations of our delegates were : Executive Director, Vice President, Asst. Vice President, Financial Engineer, IT Head, DGM, AGM, Senior Manager, Manager, Credit Manager, Deputy Manager, Assistant Manager, Associate Manager, Treasury Analyst, Senior Analyst, Analyst (Risk Management), Analyst (Risk & Capital Management), Research Analyst, Financial Analyst, Credit Analyst, etc. Partcipants have diverse educational backgrounds like : Ph. D, Master of Financial Engineering, Post Graduate Diploma in Financial Engineering, M.Sc. (Statistics), MBA, Master of Management Science, Master of Financial Management, CFA, CA, CAIIB, PGDBA, BE, B. Tech, ICWA, CISA, CISSP, M.A (Economics), PGDM, M.Com, B.Sc., B.Com. etc.

7 CREDENTIALS IIQF regularly conducts training programs in financial modelling and risk analytics for MNC banks like Bank of New York Mellon, Societe Generale, ING and others. Conducted corporate training programs for stock exchanges like NSE and BSE. Conducts open house courses in financial modelling that attracts participants from banks and other financial institutions. IIQF is the authorised training provider for the Risk Management Software products of Risk Infotech Solutions Pvt. Ltd. which is a pioneer in India in developing sophisticated risk management software solutions for leading global and Indian financial institutions. IIQF has partnered with Thomson Reuters to launch the most comprehensive course in Financial Engineering in India. IIQF has partnered with HPC links, a company specializing in super-computing technologies, to launch unique financial engineering solutions and services for the BFSI domain. IIQF is a GARP Authorized FRM Training Course Provider. Four years of experience in providing FRM exam training. Faculty are industry practitioners working with some of the best global banks and financial institutions and educated from some of the top global institutions. Trained thousands of professionals in Financial Modelling and other programs over the last fours years.

8 COURSE SYLLABUS Derivative Valuations & Risk Analytics (60 Hours) (A) Monte Carlo Simulation in Excel (C) Equity Derivatives Valuation 1. Overview 2. Generating Random Numbers of different distributions using Excel functions: a. RAND, RANDBETWEEN b. NORMINV, NORMSINV c. NORMDIST, NORMSDIST d. Other Distributions 3. Simulating Geometric Brownian Motion in Excel 4. VBA UDF for Simulating Geometric Brownian Motion of single stock price 5. Generating Correlated Random Numbers UDF for Cholesky Decomposition 6. VBA UDF for Simulating correlated Geometric Brownian Motion of multiple stock prices (B) Fixed Income Analytics 1. Pricing Bonds in Excel and VBA 2. Estimating YTM and ZCYC in Excel and VBA 3. Yield Curve Construction in Excel and VBA a. Bootstrap methods b. Linear Interpolation c. Cubic Spline Interpolation 4. Risk Measures a. Durations and Convexity, PV01 and VaR in Excel and VBA b. Portfolio Duration in Excel and VBA 1. European Options Pricing in Excel and VBA a. Black-Scholes Pricing Model b. Binomial Pricing Model c. Computing BS Greeks 2. American Options Pricing in Excel and VBA a. Binomial Tree b. Trinomial Tree 3. Asian Options - Valuation with Monte Carlo Simulation using VBA 4. Barrier Options - Valuation with Monte Carlo Simulation using VBA 5. VBA UDF for calculating Implied Volatility (D) Interest Rate Derivatives Valuation 1. Interest Rate Term Structure Models a. Vasicek Model b. Cox-Ingersoll-Ross (CIR) Model c. Black-Derman-Toy (BDT) Model d. Heath-Jarrow-Morton (HJM) Model 2. Interest Rate Options valuation a. Valuation of Caps i. Caplet ii. Floorlet b. Valuation of Swaption i. Payer Swaption ii. Receiver Swaption (E) Currency Derivatives Valuation 1. Single-currency Options 2. Cross-currency Options

9 Derivative Valuations & Risk Analytics (contd.) (F) Market Risk Analytics : Theory and Implementation 1. Measures of Risk 2. Portfolio effect of Risk 3. Value-at-Risk a. Overview b. Limitations and Alternatives c. Models and Estimation Methods for Linear Instruments i. Parametric Variance-Covariance 1. Full Historical Variance-CoVariance 2. EWMA Single-Index 3. Multi-Factor Models ii. Non-Parametric 1. Monte-Carlo Simulation 2. Historical Simulation d. Models and Estimation Methods for Non- Linear Instruments i. Parametric / Local Valuation 1. Delta-Normal 2. Delta-Gamma-Normal ii. Non-Parametric / Full Valuation 1. Monte-Carlo Simulation 2. Historical Simulation e. Backtesting VaR f. Portfolio VaR and simulation i. Correlated Multi-variate RNG ii. Simulation of VaR for a portfolio of options and stocks (G) Credit Risk Analytics : Theory and Implementation 1. Basic of Credit risk such as transaction risk, portfolio risk, settlement risk, counter-party risk etc 2. Risk measurement techniques such as rating models, scoring models for transaction risk 3. Portfolio risk measurement such as Economic capital, Credit VaR etc 4. Modeling PD, LGD and EAD 5. Validation of PD, LGD, EAD and Rating/scoring models

10 COURSE FACULTY Abhijit Biswas is the founding Director and Head of Product Development at Risk Infotech Solutions, India s pioneering company in Portfolio Risk Management Software Products. He is currently consultant to HPC Links which is involved in the development of Quantitative Finance solutions and services using High Performance Parallel Computing technologies in Algorithmic Trading, Risk Analytics, etc. He is also consultant to financial institutions for Volatility Trading systems. He is also the founding Director of IIQF. As a Quant professional, he has created numerous breakthroughs in Risk Modelling Technology in India. He has codeveloped India s first and principal Multi-Factor Risk Model for the Equity market, and India s first and only one of a kind Multi-Factor Risk Model for the Fixed Income market. He has also developed India s first commercial grade large scale Monte Carlo Simulation system for business analytics using Excel spreadsheet models. He also received Venture Capital funding to start up one of India s first software product companies to research and develop risk management systems in India which caters to major global financial institutions. He has been a consultant to major global financial institutions in risk management domain. He has conducted training programs on statistics, econometrics, simulations, etc. for the top and mid level executives of the National Stock Exchange. He has conducted training programs for the Bombay Stock Exchange and other institutions. He regularly conducts training programs for FRM aspirants across India. Anand Sabale, FRM. He is Partner at SPN Risk Solutions LLP. He has over six years of experience in risk management consulting, performance analytics and algorithmic trading. He has researched, traded and advised on statistical arbitrage trading. He is involved in risk management consulting and performance analytics for hedge funds and fund of hedge funds. Previously he had worked with Capital Metrics and Risk Solutions where he was involved in developing quantitative trading strategies and performance analytics for hedge funds. He is M.Tech. IIT Kanpur, BE Shivaji University and an FRM holder. Guruprasad Jambunathan has four years of experience in quantitative analysis & risk analysis with Irevna, CRISIL where he is responsible for undertaking advanced quantitative and risk-based analysis. He has been conducting training in relevant field for over three years. He holds a MBA Finance, Degree in Statistics, FRM, CFA. Vishal Singhi, is the Chief Manager Treasury in a top private bank, where his responsibilities include structuring of Forex and interest rate derivative products, designing hedging strategies, risk analysis, pricing of path dependent exotic options, etc. He has over five years of experience in industry and also in teaching in business schools. He has done MMS in Finance and Certificate Course in Financial Engineering.

11 ADMISSION PROCESS Candidates may apply online for admission to the course. Admission will be based on the candidate s academic background and professional experience. REGISTRATION PROCESS Online Registration: Modes of Payment: Mode 1 - Cheque/Demand Draft Payments are accepted in the form of Cheque/DD In favour of "INDIAN INSTITUTE OF QUANTITATIVE FINANCE PVT. LTD." Payable at Mumbai. Please mention your name, and telephone number along with the payment. Please mail your payment to our Mumbai office. Mode 2 - Wire Tranfer (NEFT/RTGS) Payments can also be made through internet banking. Please contact us for details. CONTACT DETAILS Mumbai: Module No. 624, Mastermind IV, Royal Palms IT Park, Goregaon (E), Mumbai Contact Person: Nitish Mukherjee Phone: / Office Hours : Weekdays : 10:00 AM - 7:30 PM Saturdays & Sundays :2:30 PM - 7:30 PM (Weekends with prior appointment) Offline Registration: Visit our office at Mumbai