Certificate Examination in
About Certificate Examination in Risk in Financial Services Rules and Syllabus twenty twenty
Exemption from Level-One Examination:
Rules and Syllabus for Level - Two Examination (CISI, London)
Subject of Examination (Level - Two) : Paper - Two : Risk in Financial Services Registration and Examination Fees:
The Examination is conducted throughout the year except Saturday and Sunday. Passing criteria:
PROCEDURE FOR APPLYING FOR EXAMINATION (Level - Two) :
RISK MANAGEMENT: AN OVERVIEW
One point one Introduction
One point three Categories of Risk
One point five Integration of Risks leading to Enterprise-wise Risk Management System
One point two Risk Management
The International Organization for Standardization identifies the following principles of risk management
Potential risk treatments
Review and evaluation of the plan
Risk in Traditional Sense
Enterprise Wide Risk Management
Implementation of Enterprise Wide Risk Management:
Enterprise Risk Management for Banks:
Tier One and Tier Two. Tier One Capital
Tier Two Capital It includes:
Minimum Capital Requirement
One point three CATEGORIES OF RISK
One point four STEPS IN RISK MANAGEMENT
From Risk Management to Value Management
One point five REQUIREMENTS FOR AN EFFECTIVE RISK MANAGEMENT SYSTEM
Fifty-five. Standardized approach
Fifty-seven. IRB (Internal Rating Based) Advanced approach
Altman's Z Model of Scoring
JP Morgan's Model of Scoring
How to Calculate RWAs and Capital Charge in respect of Credit risk
Eligible Financial Collaterals.
Capital Requirement for collateralized transaction.
Illustrations clarifying CRM.
Calculate Value of Exposure after Risk Mitigation?
Find Tier one CRAR and Total CRAR.
CHAPTER TWO ASSET LIABILITY MANAGEMENT
Two point one. Introduction
Two point three. Balance Sheet Structure: Implications for ALM
Two point one. INTRODUCTION
Categorisation of Bank Balance Sheet
Two point two. NATURE OF ALM RISKS AND ITS ORGANISATION
excluded. Balance Sheet Structure: Assets
Balance Sheet Structure: Liabilities
Chapter three Liquidity Risk Management
One. Liquidity Risk Management - Need and Importance:
Two. Potential Liquidity Risk Drivers:
Three. Types of Liquidity Risk:
Four. Principles for Sound Liquidity Risk Management:
Fundamental principle for the management and supervision of liquidity risk
Five. Governance of Liquidity Risk Management:
A. The Board of Directors:
B. The Risk Management Committee:
C. The Asset-Liability Management Committee (ALCO):
D. The Asset Liability Management (ALM) Support Group:
Six. Liquidity Risk Management Policy, Strategies and Practices:
Six point one. Liquidity Risk Tolerance:
Six point two. Strategy for Managing Liquidity Risk:
Seven. Management of Liquidity Risk:
Eight point one. Identification:
Eight point two. Measurement of Liquidity Risk:
Eight. Ratios in respect of Liquidity Risk Management:
Ten. Contingency Funding Plan:
Eleven. Overseas Operations of the Indian Banks' Branches and Subsidiaries and Branches of Foreign Banks in India:
Twelve. BROAD NORMS IN RESPECT OF LIQUIDITY MANAGEMENT:
Thirteen. Liquidity Across Currencies
Fourteen. Management Information System
Fifteen. Reporting to the Reserve Bank of India
Sixteen. Internal Controls
Four. Definition of Liquidity Coverage Ratio:
Five High Quality Liquid Assets:
Seven. Liquidity Risk Monitoring Tools:
Eight. Basel three Liquidity Returns:
Ten. Net Stable Funding Ratio (NSFR):
One. Developing a structure for managing liquidity risk:
Treatment of Foreign Currencies
Two. Setting tolerance level and limit for liquidity risk:
Three. Measuring and Managing Liquidity Risk :-
B. One. Liquidity Gap Analysis or Maturity Laddar
B. Two. Managing market access
B. Three. Alternative Scenarios
Three. Assumptions and issues in determine cash flows:
Definition of Liquidity Coverage Ratio. Stock of high quality liquid assets
Total net cash outflows over the next thirty calendar days
High Quality Liquid Assets:
Liquidity Risk Monitoring Tools
Basel three Liquidity Returns:
How to calculate RWAs for Operational Risk?
Risk Management and Control
Three. Limits and Triggers
Five. Models of Analyses.
Pillar - Three Market Discipline
Non-market related off-balance sheet items:
RBI guidelines on Credit Conversion Factor.
Credit Conversion Factor.
Capital Charge on Un-availed limit
In compliance of the new guidelines banks have advised all the branches for:
Volatility with time horizon and Bond Value
A five year five percent Bond has a Beta Price Volatility of rupees fifty, how much the bond will gain or lose due to
Two Market Risk Management.
Three Tools for Measurement of Market Risk
What Makes a good Stress Test: A good stress test should
How should risk managers use stress tests:
Four point one Definition and Scope of Credit Risk
Four point three Significance of Credit Risk: Measurement and Management
Four point five Approaches to Credit Risk Measurement: Intrinsic Risk
Four point seven Tools of Credit Risk Management
Four point one Definition and Scope of Credit Risk
Four point two. Organisational Structure
Four point three. Significance of Credit Risk: Measurement and Management
Four point six APPROACHES FOR PORTFOLIO CONCENTRATION RISK
Four point seven Tools of Credit Risk Management.
Four point eight Credit Risk Mitigation
A. Securitization Transaction
CHAPTER Five OPERATIONAL RISK
Five point two Definition
Five point four Objectives of operational risk
Five point six Methodologies for measurement of operational risk
Five point three SIGNIFICANCE OF OPERATIONAL RISK
Five point four OBJECTIVES OF OPERATIONAL RISK MANAGEMENT
Five point five DEVELOPING AN APPROPRIATE RISK MANAGEMENT ENVIRONMENT
Risk Management: Identification, Assessment, Monitoring, and Mitigation or Control
Five point six. METHODOLOGIES FOR MEASUREMENT OF OPERATIONAL RISKS
a. The Basic Indicator Approach
b. The Standardized Approach
The values of the betas are detailed below:
C. Advanced Measurement Approaches
Assets and Liability management
Effects of interest rate risk
The earnings perspective:
Economic value perspective:
Interest rate sensitivity and GAP management
Using interest rate swaps to hedge interest rate risk
Using financial futures to hedge interest rate risk
Customised interest rate agreements
The role of securitisation in ALM
Basel Three and its implications
Three. Comparison between the Basel Guidelines:
o In short the objectives of Basel Three are:
· Capital Conservation Buffer (CCB):
Eleven. Counter-cyclical buffer/provision:
Seven. Definition of the Standard Net Stable Funding Ratio equals
RBI's Strategic Debt Restructuring
Central Repository of Information on Large Credits (CRILC)
Risk Management-Information Security
Two. BASIC PRINCIPLES OF INFORMATION SECURITY:
Three. Information Security Governance:
Four. Organizational Structure, Roles and Responsibilities:
B Information Security Team and Function:
C Information Security Committee:
Chief Information Security Officer:
Critical Components of Information Security:
Three. Inventory and information or data classification:
Four. Defining roles and responsibilities:
Six. Information security and information asset life-cycle:
Seven. Personnel security:
Eight. Physical security:
Nine. User Training and Awareness:
Ten. Incident management:
Eleven. Application Control and Security:
Twelve. Migration controls:
Thirteen. Implementation of new technologies:
Sixteen. Vulnerability Assessment:
Seventeen. Establishing on-going security monitoring processes:
Eighteen. Security measures against Malware:
Nineteen. Patch Management:
Twenty. Change Management:
Twenty-one. Audit trails:
Twenty-two. Information security reporting and metrics:
Twenty-three. Information security and Critical service providers/vendors:
Twenty-four. Network Security:
Twenty-five. Remote Access:
Twenty-six. Distributed Denial of service attacks(DDoS/DoS):
Twenty-seven. Implementation of ISO two hundred seventy zero one Information Security Management System:
Twenty-eight. Wireless Security:
Twenty-nine. Business Continuity Considerations:
Thirty. Information security assurance:
Thirty-one. General information regarding delivery channels:
Six. Emerging technologies and information security:
Challenges of Virtualization
Banking Book, Trading Book and Off Balance Sheet Items
Off Balance Sheet Exposures
Four. Credit Risk or Default Risk
Nineteen ninety-six Amendment
Minimum requirement of Capital Adequacy Ratio is as under:
Capital adequacy in Regional Rural Banks
Two ways to improve Capital Adequacy Ratio
Risk Weights on different Assets
Distinction between Basel One and Basel Two
Three Pillars of BASEL TWO
Pillar Two Supervisory Review Process
Pillar One Minimum Capital Requirement
One. Standardized approach
Three. IRB (Internal Rating Based) Advanced approach
Risk weights prescribed by Reserve Bank of India are as under: Rated Corporate
Rating by Outside Agencies The risk weights corresponding to the newly assigned rating symbols are as under:
First Step: Calculate Fund Based and Non Fund Based Exposure:
Eligible Financial Collaterals.
Haircuts (He-Haircut for Exposure and Hc-Haircut for Collateral)
Illustrations clarifying CRM
Two. Collateral Loan Obligations (CLO) and Credit Linked Notes (CLN)
Three. Credit Derivatives
Operational Risk - Measurement Three approaches have been defined to measure Operational Risk at the bank:
The Standardized Approach
Advanced Measurement Approach
How to calculate RWAs for Operational Risk?
Operational Risk - Scenario Analysis
Operational Risk Mitigation
Practical Example - AMA approach
Market Risk involves the following:
Three. Downside Potential
Four. Extreme value theory
RBI guidelines on Credit Conversion Factor
Capital Charge on Un-availed limit
Time frame for application of different approaches
BASEL three Basel three covers Liquidity Risk in addition to Basel two.
Calculation of Value at Risk
Duration and Modified Duration
Risk Management and Control
Calculation of Capital Charge of Market Risk
Other Risks and Capital Requirement
Pillar two Supervisory Review Process
Pillar - Three - Market Discipline
Six. Non-market related off-balance sheet items
Non-market related off-balance sheet items:
Volatility with time horizon and Bond Value
Bond Value, Current Yield
Guidelines on Partial Credit Enhancement to corporate bonds by banks
Two. Salient features of the Partial Credit Enhancement facility
LARGE EXPOSURES FRAMEWORK (LEF)
Definition of connected counterparties
Counterparties exempted from LEF
Facilities for Persons Resident in India other than Authorised Dealers Category-One
A. Products and Operational Guidelines
Four. Contracted Exposures
One. Forward Foreign Exchange Contracts
Operational Guidelines, Terms and Conditions
Seven. Cross Currency Options (not involving Indian Rupee)
Operational Guidelines, Terms and Conditions
Nine. Foreign Currency - Indian Rupee Options
Operational Guidelines, Terms and Conditions
Eight. Foreign Currency-INR Swaps
Operational Guidelines, Terms and Conditions
Market-makers - AD Category One banks
Operational Guidelines, Terms and Conditions
AD Category One banks in India
Operational Guidelines, Terms and Conditions
Thirty-five. Probable exposures based on past performance
Market-makers - AD Category One banks in India. Users - Importers and exporters of goods and services
Operational Guidelines, Terms and Conditions
Three. Special Dispensation
(g) Resident Individuals, Firms and Companies
Market-makers - AD Category One banks
Eight. Simplified Hedging Facility
Operational Guidelines, Terms and Conditions
Twelve. General Instructions for Over the Counter foreign exchange derivative contracts entered by Residents in India
Four. Currency Futures on recognised Stock or New Exchanges
Currency futures are subject to following conditions:
Surveillance and disclosures
Authorisation to Currency Futures Exchanges or Clearing Corporations
Five. Currency Options on recognized Stock / New Exchanges
Features of exchange traded currency options
Surveillance and disclosures
Facilities for Foreign Portfolio Investors Purpose
Operational Guidelines, Terms and Conditions
For Initial Public Offer related transient capital flows
Three. Facilities for Non-resident Indians.
Five. Facilities for Hedging Foreign Direct Investment in India. Purpose
Six. Facilities for Hedging Trade Exposures, invoiced in Indian Rupees in India Purpose
The AD Category One banks can opt for either Model One or Model Two as given below:
Seven. Facilities for Hedging of ECBs, designated in Indian Rupees, in India
Operational Guidelines, Terms and Conditions
Operational Guidelines, Terms and Conditions
Eight. Facility for hedging exposures of Indian subsidiaries Users
Operational Guidelines, Terms and Conditions
Nine. Simplified Hedging Facility
Operational Guidelines, Terms and Conditions
One. Management of Banks' Assets-Liabilities
Operational Guidelines, Terms and Conditions
Two. Hedging of Gold Prices
Operational Guidelines, Terms and Conditions
Three. Hedging of Capital
Operational Guidelines, Terms and Conditions
Four. Participation in the currency futures market in India
Six. Operational Guidelines, terms and conditions for AD Category-One banks participation in the ETCD market
Two. Rupee Accounts of Non-Resident Banks
Three. Funding of Accounts of Non-resident Banks
Five. Conversion of Rupees into Foreign Currencies
Six. Responsibilities of Paying and Receiving Banks
Seven. Refund of Rupee Remittances
Eight. Overdrafts / Loans to Overseas Branches/ Correspondents
Nine. Rupee Accounts of Exchange Houses
Three. Inter-bank Transactions
Four. Foreign Currency Accounts/ Investments in Overseas Markets
Reserve Bank of India Guidelines on exposure norms MASTER CIRCULAR ON EXPOSURE NORMS
Two point one point one. Ceilings
Two point one point one point seven. Exposures to Non-Banking Financial Companies
Two point one point one point eight Lending under Consortium Arrangements
Two point one point one point nine Bills discounted under Letter of Credit
Two point one point one point ten Disinvestment Programme of the Government of India
Two point one point two Exemptions
Two point one point two point two Food credit
Two point one point two point three Guarantee by the Government of India
Two point one point two point four Loans against Own Term Deposits
Two point one point two point five Exposure on NABARD
Two point one point three Definitions
DBR-MC on Exposure Norms - twenty fifteen
Two point one point three point three Credit Exposure
Two point one point three point four Investment Exposure
DBR-MC on Exposure Norms - Twenty Fifteen
Two point one point three point five Capital Funds
Two point one point three point six Group
Two point one point four Review
DBR-MC on Exposure Norms - Twenty Fifteen
Two point two point one Internal Exposure Limits
Two point two point one point two Unhedged Foreign Currency Exposure of Corporates
DBR-MC on Exposure Norms - Twenty Fifteen
Two point two point one point three Exposure to Real Estate
Two point two point two Exposure to Leasing, Hire Purchase and Factoring Services
D B R dash M C on Exposure Norms dash two thousand fifteen
Two point three Banks' Exposure to Capital Markets - Rationalisation of Norms
Two point three point one Components of Capital Market Exposure
Five. Irrevocable Payment Commitments issued by custodian banks in favour of stock exchanges. D B R dash M C on Exposure Norms dash two thousand fifteen
Two point three point two point one Statutory limit on shareholding in companies
Two point three point two point two Regulatory Limit
D B R dash M C on Exposure Norms dash two thousand fifteen
Two point three point three. Definition of Net Worth
Two point three point four. Items excluded from Capital Market Exposure
DBR-MC on Exposure Norms - twenty fifteen
Two point three point five. Computation of exposure
DBR-MC on Exposure Norms - twenty fifteen
Two point three point six. Intra-day Exposures
Two point three point seven. Enhancement in limits
Fourteen. Prudential Limits on Intra-Group Exposure
(AL) Single Group Entity Exposure
DBR-MC on Exposure Norms - twenty fifteen
Thirty-six Financing of equities and investments in shares
DBR-MC on Exposure Norms - twenty fifteen
Four point two Financing of Initial Public Offerings (IPOs)
Four point three Bank finance to assist employees to buy shares of their own companies
Four point four Advances against shares to Stock Brokers and Market Makers
DBR-MC on Exposure Norms - twenty fifteen
Four point six Advances against units of mutual funds
DBR-MC on Exposure Norms - twenty fifteen
Four point eight. Margin Trading
Four point nine. Cross holding of capital among banks / financial institutions
D B R- M C on Exposure Norms - twenty fifteen
Nine. 'Safety Net' Schemes for Public Issues of Shares, Debentures, etc.
Five point two. Provision of buy back facilities
D B R- M C on Exposure Norms - twenty fifteen
D B R- M C on Exposure Norms - twenty fifteen
List of All-India Financial Institutions
MEMORY BASED M C Q S ON RISK MANAGEMENT
CASE STUDIES / CASE LETS / PROBLEMS ON RISK MANAGEMENT
Case study on Capital Conservation Buffer in Basel - Three
Case study on Role of Supervisor under Pillar-two of Basel three
Case study on Calculation of Capital Ratios as per Basel Three
CASE STUDIES ON ASSET LIABILITY MANAGEMENT
On the basis of given information, answer the following questions:
on the basis of given information, answer the following questions
CASE STUDIES: INTEREST RATE RISK MANAGEMENT
International Bank raised funds by way of one hundred eighty-two day term deposit at seven percent rate of interest. It has following options to invest these funds:
CASE STUDIES ON VOLATILITY, BPV, DURATION, VaR
Steps for calculating Mean, Variance, Volatility
Answers: one-b two-a three-c Explanations:
Answers: One-c, Two-a, Three-d. Explanations:
Answers: One-a, Two-d, Three-c, Four-a, Five-a. Explanations:
The value at risk of a Government of India bond security is zero point seventy percent. The current yield is eight point ten percent.
Assistant Liability Management - Terminology
Basel Committee on Banking Supervision
Assistant Liability Management - Terminology
Foreign Institutional Investor
Module-Three : Theory and Practice of Forex and Treasury Management
General provisions and loss reserves
Hybrid debt capital instruments
Assistant Liability Management - Terminology
Off-Balance Sheet exposures
Assistant Liability Management - Terminology
Tier one (or Tier One) capital
Tier two (or Tier Two) capital
Module-Three : Theory and Practice of Forex and Treasury Management
Automated Clearing Houses - Risk Management recollected questions:
Caib Risk management recollected.