PTMBA2023 Risk Management

All economics decisions are risky; therefore, managers need to estimate the different possible future outcomes of their decisions. This course introduces the concept of risk and the techniques of corporate and financial risk management. A key to these techniques is the understanding of probability distributions, which can be created through simulations. In addition, risk management is linked to the strategic management of a firm. Class discussions, different case studies, and a guest lecture illustrate the concept of risk, the techniques of risk management, and its importance.

OBJECTIVES OF THE CLASS

• Identification and definition of ‘risk’ in different contexts
• Realizing that risk perception is subjective and causes variance in decision making
• Quantification of ‘risk’ with various risk measures
• Identifying risks in business strategies
• Understanding the functionality of options, futures, and swaps
• Gaining knowledge about commodity market dynamics
• Understanding corporate and bank risk management

Session Information

Lessons Pack: The required course packet contains the material for the class (no pre-reading required).

Cases: Students have to work on different cases during the course. Cases will be handed-out in-class.

CLASS ETIQUETTE

• Reliability – Engagement, presence and timeliness are key pre-requisites
• Diversity – Take the opportunity to learn from each other
• Respect – for your colleagues and lecturers
• Trust – Confidentiality
• Enthusiasm – Enjoy the course, take part, try new ideas
• Professionalism – Behavior on highest standards
• Disturbances – Cell phone, BlackBerry, eBay only in the breaks; and no laptops during the guest session!

SESSIONS AND REFERENCES

Session I

CAPM and Value Added of Risk Management

Corporate Risk Management

Case Strategic and Risk Management

Session I / II

Hedging with Derivatives

Case Probability Distributions and FX Hedge

Case Metallgesellschaft

Session II / III

Risk Management in Banking

Case ING

Case Rating

Case Risk Weighted Asset and Capital Charge

Session III

maybe Guest Lecture by Gerold Grasshoff, BCG

Session III

Exam Preparation

tba

Take Home Exam (60 minutes, open book)

Cases (30%)

Final Examination (50%)

The teaching style will be a combination of classical classroom teaching, group work on in-class cases, presentation, and discussion.