Short-term Course on Financial Modelling and Risk Management: Theory and Practice
May 24 - 27, 2010
Department of Humanities and Social Sciences
Vinod Gupta School of Management
Indian Institute of Technology, Kharagpur
Overview
Financial liberalisation has provided opportunities and challenges to market
participants in terms of high return and risk. In a competitive environment, it is very
much essential to know the regulatory as well as the theoretical and empirical
foundations of various aspects of financial markets. The present global financial
turmoil is characterized by weak economic environment, low liquidity and volatile
financial markets. In this context, it is imperative for all the market participants to
understand the financial market dynamics and empirically assess the financial risks.
The discussion on “Financial Modelling and Risk Management” provides them an
ideal platform for enhancing their knowledge on empirical finance. It helps the
financial consultants, retail investors, corporate managers and academicians to take
long-term financial decisions in a prudent manner. This course will focus on
theoretical and practical issues related to Corporate Finance, Portfolio Management,
Financial Markets and Risk Management.
Objectives
• To discuss the theoretical foundation of financial modelling
• To enhance the skill on financial models specification
• To facilitate the use of IT tools / statistical package for financial models’
estimation
• To understand the risk assessment and mitigation in financial decision
• To appraise the emerging issues in financial modelling
Course Overview
Corporate Finance
• Cost of Capital
• Modelling the Determinants of Capital Structure
• Agency Conflict and Dividend Policy
• Construction of Corporate Governance Index
Portfolio Management
• Estimation of Risk and Return of Portfolio
• Testing of CAPM, APM and MFM
• Optimal Portfolio Section (Application of Markowitz, Sharpe, Lagrange
Multiplier and Utility Models)
• Construction of Index Fund and Stylized Funds in the Mutual Fund
Financial Market
• Financial Market Integration (Application of Co-integration)
• Efficient Market Hypothesis (Application of Time Series Models)
• Financial market Instability: Measurement and Construction of Instability
Index
• Financial market Forecasting: Interest rate, Exchange Rate and Stock Price
Risk Management
• Fixed Income Securities: Duration, Convexity and Value at Risk
• Assessment of Risk in Equity market through Value-at-Risk
• Basle-II Norms: Credit, Market and Operational Risk
• Risk management in Insurance Companies: Solvency-I and II
• Risk Management thorough Derivatives (Future, Option and Swaps)
Faculty and Pedagogy
Faculties from IIT Kharagpur and industry experts will deliver lectures, simulated
structured exercises and case studies in interactive sessions. This Four Day course
will have 22 contact hours.
Who can Participate
The course is addressed to (1) Executive from Industry, government organisations and
NGOs, (2) Faculty members from colleges and universities, and (3) students with
minimum qualification of graduation.
Course Fee : Rs. 7000/- ( Seven Thousand )
This would include course material, certificate, accommodation on twin sharing basis
and food at Visveswaraya Guest House, IIT Kharagpur. Demand Draft in favour of
“ CEP- STC, IIT KHARAGPUR” Payable at Kharagpur must be attached with the
form and send to any one of the co-ordinators latest by 15th May 2010.
Contact Information
Dr. J. Mahakud (Coordinator)
HSS and VGSOM
IIT Kharagpur- 721 302
Ph No: 03222-283694
Mobile: 09434703448
Email: jmahakud@yahoo.com
Dr. A.K.Misra (Coordinator)
VG SOM
IIT Kharagpur-721302
Ph. No.: 03222-282314
Mobile 09832901836
Email: arunmisra@vgsom.iitkgp.ernet.in
Registration form
Name:
Designation:
Organisation:
Experience in years: Age: Sex:
Accommodation Required / Not Required at IIT (Please tick)
Details of Demand Draft: No.: _______________ Date: _______________
Drawn on: __________________________________________________
Contact Address of the participant:
_________________________________________________________
_________________________________________________________
Telephone: _________________________ Fax: __________________
E-mail: ___________________________________________________
(Signature of the Applicant with Date)
The application of /Mr./Ms. ___________________________________
__________________________________________________________ is hereby
forwarded for necessary action.
(Head of the Sponsoring Institute)
Demand draft in favour of CEP-STC, IIT Kharagpur drawn at Kharagpur must be
attached with the form and sent to the coordinators latest by 15 May, 2010
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