IIBF's Risk Management - Book By Taxmann

Edition : 2026

Risk Management is the official courseware prescribed by the Indian Institute of Banking & Finance (IIBF) for Paper II of its examination in Treasury, Investment and Risk Management (DTIRM). Comprehensively revised for the 2026 Edition and mapped to the latest syllabus, this 800-plus-page volume builds a complete, working command of how modern banks identify, measure, price, and control risk—from board-level governance down to the arithmetic on a dealer's blotter.

What sets this book apart is that it is not a high-level summary. Across four modules and 25 chapters, it develops each topic from first principles and then carries it through to fully worked numerical solutions, decision tables, and regulatory application. A reader does not merely learn what Value at Risk or duration is; they work through the actual computation—pricing a 10-year zero-coupon bond to ₹456.39, deriving 99% VaR and Expected Shortfall from a 1,000-day P&L series, computing portfolio PVBP, and settling a quarterly swap cash flow. The treatment reaches current frontier material—Expected Shortfall and the Fundamental Review of the Trading Book (FRTB), Extreme Value Theory, Monte Carlo simulation, coherent/sub-additive risk measures, LCR/NSFR, ICAAP, and climate-related and conduct risk—well beyond a minimum syllabus.

The book deliberately pairs conceptual clarity with a practitioner's orientation. It serves as both a structured examination guide for DTIRM candidates and a standing desk reference for treasury and risk professionals, and is designed for effective self-study without classroom support.

The book is written for a wide spectrum of readers across banking, treasury, and finance:

• DTIRM Candidates preparing for Paper II of the IIBF examination—its primary, intended readership, served by chapter-end objective questions and answer keys
• Treasury Professionals and Dealers—front-, middle-, and back-office staff who need a rigorous reference on market, FX, and balance-sheet risk, plus the pricing of bonds and derivatives
• Risk Managers and CRO Teams building or running enterprise-wide risk, ALM, and limit frameworks
• Internal Auditors, Compliance and Finance Officers working with risk-based internal audit, ICAAP, Basel, and RBI requirements
• Regulators and Supervisors who want a single consolidated view of the risk, capital, and supervisory architecture
• Students, Faculty, and Researchers in banking and finance seeking an exam-oriented yet quantitatively serious grounding

In short, it suits anyone—from first-time candidate to seasoned practitioner—who needs both the theory and the applied, computational tools of banking risk management in one place.

The Present Publication is the 2026 Edition, authored and vetted by Mr Ambarisha Nanda, Former CGM, United Bank of India. Taxmann exclusively publishes this book for the Indian Institute of Banking and Finance (Certificate Examination in Treasury, Investment & Risk Management (DTIRM)—Paper II), with the following noteworthy features:

• [Official Courseware] Prescribed and copyrighted by IIBF and aligned precisely to the Revised DTIRM Paper II syllabus
• [Updated 2026 Edition] Incorporates contemporary developments in banking risk, evolving Basel/RBI frameworks, and international best practice
• [Expert Authorship] Authored and vetted by a senior industry veteran, blending regulatory rigour with real-world banking judgment
• [Quantitative & Applied] Techniques are developed through worked illustrations and step-by-step numerical solutions (carried out in realistic ₹-crore terms), supported by dozens of decision and summary tables and formulas presented in full, rather than merely defined
• [Signature Market-risk Depth] A deliberate emphasis reflecting the rising importance of market risk in volatile rate, currency, and commodity environments
• [Frontier Coverage] Expected Shortfall and FRTB, Extreme Value Theory, Monte Carlo VaR, coherent/sub-additive risk measures, LCR and NSFR, ICAAP with stress testing, PCA, and emerging climate/conduct/non-financial risk
• [Regulatory Grounding (India & Global)] The evolution of the Basel Accords through Basel III, RBI's supervisory framework, risk-based supervision, and risk-based internal audit
• [Exam-friendly Architecture] Every unit opens with a stated objective and an introduction and closes with a summary and a glossary of key definitions/keywords; most chapters also carry objective-type multiple-choice 'Terminal Questions' with answer keys
• [Self-Contained Study Design] Prepared so candidates can cover the full syllabus without a teacher, while being encouraged to track live developments in the financial press and RBI/Basel releases
• [Dual Utility] Engineered both as examination preparation and as a lasting professional reference

The courseware spans the full risk-management landscape across four modules. Beyond naming topics, it develops the working techniques of each—with illustrations, tables, and solved problems throughout.

• Module A — Risk and Risk Management Framework (Chapters 1–6)
• Why Banks are Special — Financial intermediation, asset/liquidity/information transformation, money creation, and monetary-policy transmission
• The Nature of Risk — The definition and taxonomy of risk (business vs control, financial vs non-financial) and the interconnectedness among banking risks
• Risk-management Framework — Risk culture, architecture, organisational structure, risk policy, risk appetite and limits, and the identify–measure–mitigate–monitor cycle with MIS, plus Enterprise Risk Management (ERM)
• ALM & IRRBB — Asset-Liability Management and interest-rate risk on the banking book, with duration-gap analysis (worked GAP reports, e.g., 'ABC Bank'), stress and back testing
• Liquidity Risk — Liquidity vs solvency, the forms and drivers of liquidity risk, and balance-sheet identification and measurement
• Emerging Themes — Optionality/embedded-option risk, reputation risk, and conduct risk
• Module B — Basel and RBI Guidelines on Risk Management (Chapters 7–13)
• Why Banks are Regulated — The rationale for regulation, the Basel Committee, and the Concordat
• Evolution of Basel — The path from Basel I → Basel II → Basel III, including lessons from the Global Financial Crisis
• Regulatory Capital & Capital Adequacy — Why banks hold capital and how minimum requirements are framed
• Capital Charges — Credit risk (Standardised and Internal Ratings-Based approaches, off-balance-sheet items, external ratings, credit-risk mitigation), operational risk (Basic Indicator, Standardised, Advanced, and the New Standardised Approach with Business Indicators, plus climate risk and sustainable finance), and market risk
• Pillar 2—ICAAP & Stress Testing — The Supervisory Review Process and ICAAP (principles, proportionality, capital planning and allocation), stress testing (sensitivity, scenario, and reverse), and the Prompt Corrective Action (PCA) framework
• Disclosure, Buffers & Ratios — Market discipline and disclosure, capital buffers (CCB, CCyB, D-SIBs), the leverage ratio, and liquidity standards (LCR, NSFR)
• Supervision & Audit — Risk-Based Supervision and Risk-Based Internal Audit
• Module C — Market Risk (Chapters 14–20) — The Book's Centre of Gravity
• Market-risk Foundations — Market risk and its components, and the market-risk management framework and organisational structure
• Foreign Exchange — Exchange-rate drivers, and FX risk measurement and management.
• Fixed Income & Bond Pricing — Fixed-income securities and bond valuation, and bond price behaviour and interest-rate risk (nine price-sensitivity properties, with worked pricing including zero-coupon bonds)
• Interest-rate-risk Measurement — PVBP, Duration, Modified Duration, and Convexity (portfolio PVBP and duration, hedging with basis-point value, price-volatility characteristics)
• Value at Risk (VaR) — Parametric, historical-simulation, and Monte Carlo methodologies with their advantages and limitations, extending to Expected Shortfall (ES), Extreme Value Theory, coherent/sub-additive risk measures, stress and back testing, and the FRTB shift from VaR to ES for market-risk capital
• Equity, Commodity & Credit-Spread Risk — The closing chapter of the module
• Module D — Derivatives and Risk Management (Chapters 21–25)
• Derivatives Overview — The features, uses, and misuse of derivatives (OTC vs exchange-traded, long/short, Indian markets)
• Forwards — Pay-offs, cost-of-carry pricing, the price-versus-value distinction, and Forward Rate Agreements (FRAs)
• Futures — The clearing house, margining and margin calls, the spot–futures relationship, contango vs backwardation, pricing, and interest-rate futures for duration management (e.g., using GOI-bond futures to cut portfolio duration ahead of an expected 50-bp rate rise)
• Options — Terminology, calls, puts, pay-offs, pricing, and interest-rate options
• Swaps — Interest-rate swaps with worked cash-flow computation, uses, and swaptions, plus equity and currency swaps, with ISDA documentation and CSA collateralisation

The book is built from four modules and 25 chapters (called 'Units'). Its structure is defined by two things: a deliberate module-to-module progression, and a single chapter template repeated throughout.

• The Macro Arc — Foundations → rules → measurement → instruments. The four modules are sequenced so that each rests on the one before, rather than standing as isolated topics:
• Module A | Foundations — What risk is, and the framework, culture, and governance for managing it.
• Module B | The Rulebook — The Basel and RBI regulatory and capital-adequacy architecture that constrains and directs those choices
• Module C | The Quantitative Core — The measurement and pricing of market, interest-rate, and FX risk
• Module D | The Instruments — The derivatives used to hedge and transfer the risks measured in Module C
• A Consistent Chapter Anatomy — Every unit follows the same learner-friendly template, which makes the book easy to study and revise:
• Objective → Introduction → numbered sub-sections (to three/four levels), with worked Illustrations, Solutions and tables → Conclusion → Summary → Key Definitions/Keywords → Terminal Questions (objective-type MCQs) → Answers — with References/Recommended Reading closing several chapters
• Self-contained Study Unit — The concept is stated, demonstrated numerically, condensed for revision, and then—in most chapters—tested with quick multiple-choice questions and an answer key that mirror the examination format