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Training Programme for Banks and FIs

Programme Title: Fixed Income in Excel: Basics and Risk Analytics

About the Course and target Audience: This course is conducted on invitation from a Bank or
Financial Institution for its Officers/Executives in Treasury and Risk Management.

For course details, please contact

Course Director: Rituparna Das

Email: Dr.RituparnaDas@gmail.com, rdas@nlujodhpur.ac.in

Google search: http://www.google.com/profiles/Mr.RituparnaDas

Handbook of Fixed Income Securities: Indian Banking Perspective

Book Description

This book focuses on four components of the process of fixed income portfolio management with reference to government securities: Valuation and Return, Sensitivity, Value at Risk and Validation of VaR estimate. It also explores the problems with valuations on the basis of yield to maturity applying discreet discounting method as is the market practice, performing sensitivity measures by applying the modified duration method with the predicted yield shocks provided by RBI and making risk charges accordingly, calculation of VaR with different methods and back testing and stress testing; and suggests how to overcome those problems and which tools to use in which situation judiciously. Understanding of the text and the CD material would prevent frequency of breaches of risk measures and improve accuracy and speed of computation. This book covered the concepts, tools and techniques of fixed income to the extent they are warranted in daily practice by the officers in treasury and risk management without going into unnecessary academic details. For the above CD contact the author at the email id: Dr.RituparnaDas@gmail.com

Amazon Link: http://www.amazon.com/Handbook-Fixed-Income-Securities-Perspective/dp/363925547X/ref=sr_1_1?ie=UTF8&s=books&qid=1276718384&sr=1-1

Monetary History of India: Forecasting Perspective of Central Banks and Economists

Book Description
Traditional belief was that if one or a combination of the driver variables like interest rates, prices and outputs, pulls down a big economy the small economies are also affected in the same direction in an age where markets across the nations are increasingly being connected. But the Greek debt crisis led the policy makers, central bankers and economists to start believing the contrary. At the same time the above crisis has given birth to several myths (e.g. breakup of euro zone) and the consequent panic among the public. In absence of reference to the details of definitions, measures and creation/determination process of money supply, if subscribed to by governments, regulators and economists, such myths may lead to disasters. With this backdrop, this book is written, from the forecasting perspective of central banks and economists, about evolution of definitions, measures and models of money supply determination, in terms of research papers, in an economy like India which is relatively less affected by the international crises like East Asian crisis and sub prime crisis.

Amazon Link: http://www.amazon.com/Monetary-History-India-Forecasting-Perspective/dp/3639269470/ref=sr_1_3?ie=UTF8&s=books&qid=1278046862&sr=1-3

Handbook of Management Principles: Multinational Corporation Perspective

Book Description

Handbook of Management Principles:Multinational Corporation Perspective, (HMP) is designed to help the reader remember easily the crux of the teachings, with special focus on their uses and failures without going into too much details of theory. It begins with strategy and its link with organizational structure and resources. Then HMP discusses a host of aspects of business like culture, ethics and environment along with different functional areas like project management and control. HMP aims to make the managers learn that everything they do has multifarious implications directly or indirectly affecting the organization in its all parts and the way the organization behaves with the market. Chapters in HMP offer live lessons in different contexts from the corporates like Intel, Motorola, McDonald, Honda, Walt Disney etc. Executives, would-be executives, policy makers and strategy designers of multinational corporations and students of MBA Programmes are the target audience.

Amazon Link: http://www.amazon.com/Handbook-Management-Principles-Multinational-Corporation/dp/363926178X/ref=sr_1_2?ie=UTF8&s=books&qid=1276717173&sr=1-2

Computing Skills in Investment Management

http://nibmindia.org/NIBMSearch/TrainingProgSearchResult.aspx?area=Any&faculty=Dr%20Das%20Rituparna&duration=Any&month=All&prog_type=Any

Market Measure and Mitigation of Interest Rate Risk

The ongoing turmoil in the international financial markets especially in the
United States saw regulators as well as Governments responding with extraordinary measures to restore stability in the financial system. The plights of so-called invincible financial institutions like AIG, Lehman Brothers, Bear Sterns, Goldman Sachs, Morgan Stanley including Washington Mutual,
Wachovia, Fortis, HBOS, Bradford & Bingley etc. have caused shiver in the minds of investors worldwide. The ripple effect of such disturbances is also
being felt in our country which is already grappling with the high level of inflationary pressures during the recent times. In order to respond to the tight liquidity situation Reserve Bank of India (RBI) has raised the interest rate on NR(E)RA deposits in order to prevent premature cash outflow, has allowed scheduled banks to avail additional liquidity support under the liquidity adjustment facility (LAF) to the extent of upto one per cent of their net demand and time liabilities and introduced a second LAF (SLAF) on reporting Friday etc. Liquidity crisis and interest rate stress being the two ides of the same coin BIS has emphasized the design and use of severe stress test scenarios in the 2008 review of its “2000 Sound Practices for Managing Liquidity in Banking Organizations”. As per BCBS Chairman, Dr Nout Wellink, our limited or zero knowledge of unexpected events is causing the failure of the science of risk management in unveiling the events of the world completely. Hence, a globalized world requires “continuous education, discussion and peer to peer stimulation to keep up with the pace of exactly these unexpected events”. In this context, the captioned Programme aims to present the science of market measuring and the art of mitigating interest rate risk to those concerned and hence proposes the following menu for discussion in

URL: http://www.shiksha.com/getListingDetail/83009/course/course-Programme-On-Market-Measure-And-Mitigation-Of-Interest-Rate-Risk-Pune-India-college-National-Institute-Of-Bank-Management-Nibm

Economics of APMC Act

Business Standard November 15, 2004

The bogey of Chinese imports

Financial Express, October 5, 2001

ECONOMICS OF THE COMPANIES ACT 2004

ECONOMICS OF THE COMPANIES ACT 2004


U. R. Daga, Rituparna Das

13 November 2004

The proposal of dropping the controversial clause in the Concept Paper on Companies Act 2004 (12 Nov 04, Economic Times) empowering the government to levy a cess on turnover of companies is apparently a step in the direction of ensuring free competition, though it may not prove an unmixed blessing. ‘Cess’ is a tax levied for some specific purpose. Entry 49, List 2 of the Government of India Act represents it as a tax. Refer to Kunwar Ram Nath v. Municipal Board, Pilibhit (All India Report 1983, Supreme Court 930, 934) or Section 14(1) of Cardamom Act (42 of 1965). Again the word ‘cess’ means a tax and is generally used when the levy is for some special administrative expense in connection with Shinde Brothers v. Hy Commissioner, Raichur (All India Report 1967, Supreme Court 1512, 1525). Therefore on production decision the impact of dropping the cess to be levied at a rate not less than 0.005% and not more than 0.1% of the value of annual turnover of every company or its annual gross receipt - whichever is more - is akin to the impact of a reduction in the unit variable cost of production. Any economic policy proposal has twin dimensions of efficiency and welfare. Removal of the cess on the turnover of a particular product would decrease the break-even level of production on the one hand and on the other increase the unit contribution and hence the profit. This would enhance efficiency in terms of a hike in the return on investments (ROI) in the business related with that product. If the structure of the market of that product is imperfect, the hike in the ROI may not induce the existing companies to reduce price though they can invest the excess profits in other businesses. But, if the market structure were competitive, removal of the cess would lead to excess profits thereby attracting new entrants. Thus total output would rise and market price would come down. In any case dropping of the cess can create an efficiency gain for either of the producers and the consumers. Now consider the welfare dimension of the policy. The Preamble to the Constitution of India commits to render economic justice to the people of the country. In the constitutional literature the term ‘justice’ connotes, among other things, an establishment the enforcement of which is the object of all law. ‘Justice’ includes three great objects – the security of life, liberty and the pursuit of happiness. Reform of the Companies Act must not disturb the working of the Constitution in delivering economic justice. The above kind of policy can have an adverse welfare impact in terms of loss of the utilities, which could generate out of potential generation and/or protection of employment resulting from (a) making interim payment of workmen’s dues, pending the revival or rehabilitation of the sick industrial company; or (b) payment of workmen’s dues due to the workmen of the sick industrial company; or (d) revival or rehabilitation of the sick industrial company. In a comparative analysis of the welfare impact of the two alternative policies – (a) dropping the cess and (b) not dropping the cess – the expected values of the above utilities when properly assessed can exceed sufficiently the expected value of the gain that could accrue out of removing the cess depending upon in what market frame the policy is introduced. In a competitive market frame, the gain in form of an enhanced consumer surplus through a reduction in price caused by the removal of the cess may be different than the gain that could arise in an imperfect market frame in form of higher profits of the companies caused by the same policy. Further, depending upon the elasticity of revenue generation with respect to the level of the cess, reduction in the level of the cess in lieu of its removal may be more fruitful. Therefore the Constitution may not endorse the abolition proposal. It provides room to the above cess in Entry 97 of List I in the Seventh Schedule (Article 246).

Debt Market Analytics

Generating income from investment book continues to be one of the prime drivers of the income streams of banks. The captioned program aims to equip the dealers with requisite tools & techniques to be an effective player in the G-Sec market. Participants learn what are various determinants of market prices of G-Secs, how to analyze the G-sec yield curve and its various shapes, how to value G-Secs, which security to buy and which one to sell, what kind of portfolio strategy to formulate, what alternative types of returns these securities generate, what kinds of risks they pose and how to measure such risks. This is presented against a backdrop of the national scenario where number of players in the market is rising as a result of economic reform and the spread, as was earlier enjoyed by the limited number of players, is becoming thin. Each trader/dealer should learn how to read every nuance of working of this market and its instruments.

Objective
The programme aims to develop awareness of debt market risks, its possible impacts on individual instrument and portfolio and how to hedge.

For contents and other details visit
http://nibmindia.org/NIBMSearch/TPBrouchers/broucher43.pdf

Computing Skills in Market Risk Management

This monograph contains a detailed discussion of risk calculation methods for fixed income portfolios with particular reference to the securities held in Indian banks.

Keywords: VaR, Normal Distribution, Trading Book, HFT, Market Risk, Fixed Income

JEL Classifications: D8

URL: http://gloriamundi.org/detailpopup.asp?ID=453058975