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VTU-MBA Syllabus RISK MANAGEMENT
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Sub Code: 08MBAMM427 IA Marks: 50
No. of Lecture Hrs / Week: 04 Exam Hours: 3 Hours
Total no. of Lecture Hours: 56 Exam Marks: 100
MODULE 1 (4 Hours)
Over view of Risk, Risk identification, Risk, Insurance and Management:
Introduction to Risk and Insurance. Risk identification and Risk Evaluation,
Risk assessment & Management- Risk analysis: Exposure of physical assets,
financial assets, and Human assets, Exposure to legal liability. Risk
Management, Risk control.
MODULE 2 (7 Hours)
Risk Management using futures and forwards differences-valuation of
futures, valuation of long and short forward contract. Mechanics of buying
&selling futures, Margins, Hedging using futures -specification of futures -
Commodity futures, Index futures interest rate futures-arbitrage
MODULE 3 (8 Hours)
Risk Management using Swaps: Mechanics of interest rate swaps –volatility
of interest rate swaps –currency swaps –valuation of currency swaps.
MODULE 4 (10 Hours)
Risk Management using Options: Types of options, option pricing, factors
affecting option pricing – call and put options on dividend and non-dividend
paying stocks put-call parity-mechanics of options- stock options- options on
stock index- options on futures – interest rate options. Concept of exoctic
Hedging & Trading strategies involving options, valuation of option: basic
model, one step binomial model, Black and Scholes analysis, option Greeks.
Arbitrage profits in options.
MODULE 5 (7 Hours)
Commodity derivatives: commodity futures market-exchanges for
commodity futures in India, Forward markets, commissions and regulationcommodities
traded – trading and settlements – physical delivery of
MODULE 6 (7 Hours)
Interest rate markets-Type of rates, Zero rates, Bond pricing, Determining
Zero rates, Farward rules, Farward rate agreements (FRA), Treasury bond
& Treasury note futures, Interest rate derivatives (Black model).
MODULE 7 (5 Hours)
Credit risk-Bond prices and the probability of default, Historical default
experience, Reducing exposure to Credit risk, Credit default swaps, Total
return swaps, Credit spread options, Collateralized debt obligation.
MODULE 8 (8 Hours)
Value at Risk (VAR)-Measure, Historical simulation, Model building
approach, linear approach, Quadratic model, Monte Carlo simulation, stress
testing and back testing
1. Options Futures & Other Derivatives- John C.Hull - (Pearson
2. Options & Futures- Vohra & Bagri - (TMH), 2/e
3. Derivatives- Valuation & Risk Management-Dubofsky & Miller -
(Oxford University Press), 2004/05
1. Risk Management & Insurance – Harrington & Niehaus – TMH, 2/e
2. Risk Management & Derivative – Shulz – Thomson / Cengage
3. Principles of Risk Mgmt. & Insurance – Rejda – Pearson
Education/PHI, 8/e, 2003
4. Introduction to Derivatives and Risk Management – Chance –
Thomson Learning, 6/e, 2004
5. Introduction to Risk Management & Insurance – Dorfman –
6. International Risk & Insurance –Skipper - (TMH)
7. Options & Futures –Edwards & Ma - (MacGraw Hill), 1/e
8. Derivatives & Financial Innovations – Bansal - TMH.
9. Credit Risk Management – Anderw Fight –Elvis.
10. Financial Derivatives – S.S.S. Kumar PHI 2007.
11. Risk Management – Koteshwar HPH.
12. Futures, Options and Swaps – Robert W Kolb – Blackwell
13. Risk Management and Insurance, Treishumann: Thomson, 12 Ed.
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