RIM-EMBA-19

RIM-EMBA-19
MBA(Exe.) 2019-20: Term-III

Risk Management (RIM)

Credits	1.5
Faculty Name	*Prof. Ameet Kumar Banerjee*
Program	MBA (Executive) 2019-20
Academic Year and Term	2019- 2020 & Term III

1. Course Description
This course will examine the way businesses assess, control and transfer risk. Moreover, the course design facilitates students with no previous knowledge of risk management to understand, engage in the active discovery of risk management principles and their applications. Moreover, students receive preparedness to function in a business environment, developing an awareness of the challenges, the tools, and the process of designing and implementing risk management techniques. Any risk management process needs to involve identification of risks and associated potential costs, the risk of financial loss, determination of various strategies to treat risk, to achieve desired goals and objectives of the business. Thus, awareness about risk management methods will aid in reducing losses and improve the financial performance of the companies.

2. Student Learning Outcomes
· Understand the importance of risk management and various techniques to mitigate risk.
· This course will help students to know how to use financial derivatives as a tool for risk management.

3. Required Text Books and Reading Material

· An introduction to Derivatives and Risk Management by Chance & Brooks.
· Options, Futures, and Other Derivatives by Hull and Basu.
· Risk Management and Financial Institutions by Hull.
· Value of Risk by Jorion.
· Risk Management and Derivatives by Stulz.

4. Tentative Session Plan

Session 1 & 2: Forwards and Futures Contracts

This session covers an introduction to Futures and Forwards, what are Forward Rate Agreements. Followed by understanding basic strategies for hedging using Futures contracts. What is the Basis Risk and Cross Hedging? The discussion will also include a Hedge Ratio, Minimum Variance Hedge Ratio, and the optimal number of Contracts.

Session 3, 4 & 5: Options Contracts and Options as Hedging Instrument

These sessions will cover introduction to Option Contracts. Understanding Upper and Lower bounds Of Options Contracts, Put-Call Parity, Options strategies for risk mitigation, and the intuition of the BSM Model followed by Greeks and their importance.

Session 6, & 7: Interest Rate, Bonds and Swaps

Discussion begins with an interest rate, Duration, Modified Duration, and Convexity, and then follows a discussion about Bond Portfolio, Duration based hedging, and Immunization. The session concludes with Swaps.

Session 8, 9 & 10: Measurement of Volatility and VaR

The session begins with a discussion about proxies to measure risk and its calculation and a brief discussion on implied volatility. Then the session concludes with an understanding of the basic intuition of VaR its functionality, calculation, and application.

5. Evaluation

Components	Weights (%)
Class Participation & Group Participation	20%
Quiz - I	20%
Quiz - II	20%
End-Term Examination	40%

Class-participation is an integral component of the learning process. The marks in class participation will be linked to your attendance & discipline inside the classroom. In order to fare well class attendance and contributing to the overall learning process will be integral part of the evaluation system. The quizzes will be of MCQ types. The end-term paper would cover entire course syllabus, and will test conceptual understanding of the subject.

6. Academic Integrity

You must demonstrate high order of academic integrity in terms of class participation and involvement in the class. Reading should be a regular practice inclusive of prescribed reading material, newspapers, and other available resources. In case of group assignment, all members of the group should contribute to the preparation of the report and you are expected to write the report in your own style and language. Your basic purpose should be to learn, without resorting to any unfair means for getting a higher score/grade.

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Created By: Alora Kar on 12/13/2019 at 01:14 PM
Category: MBA(Exe.)2019-20 T-III Doctype: Document

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