# VTU-MBA Syllabus RISK MANAGEMENT

**Are you looking for VTU-MBA Syllabus RISK MANAGEMENT course? Then check it here.**

RISK MANAGEMENT

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

opportunities.

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

option.

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

commodities.

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

RECOMMENDED BOOKS:

1. Options Futures & Other Derivatives- John C.Hull - (Pearson

Education), 6/e

2. Options & Futures- Vohra & Bagri - (TMH), 2/e

3. Derivatives- Valuation & Risk Management-Dubofsky & Miller -

(Oxford University Press), 2004/05

REFERENCE BOOKS:

1. Risk Management & Insurance – Harrington & Niehaus – TMH, 2/e

2. Risk Management & Derivative – Shulz – Thomson / Cengage

Learning.

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 –

Pearson/PHI, 2004

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

Publishing.

13. Risk Management and Insurance, Treishumann: Thomson, 12 Ed.

Reference: www.vtu.ac.in