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PTMBA2024 Risk Management

Kurs ID
MBA FIN634, MBA FIN634 SI
Art des Kurses
PT MBA LV
Wochenstunden
2,0
ECTS
2,0
Semester
HS 2023
Vortragssprache
Englisch
Vortragende/r
Prof. Dr. Lutz Johanning
Bitte beachten Sie, dass AustauschstudentInnen im BSc-Programm der WHU eine höhere Anzahl an Credits erwerben als hier aufgeführt. Für weitere Informationen wenden Sie sich bitte direkt an das [International Relations Office].
ABOUT THIS CLASS

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

  • Introduction and Value Added of Risk Management
  • Corporate Risk Management
  • Case Business Strategy and Risk Management
  • Scheduled: Guest Lecture by Gerold Grasshoff, BCG

Session I / II

  • Hedging with Financial Derivatives
  • Case Metallgesellschaft
  • Case Real Option

Session II

  • Scheduled: Guest Lecture by Jürgen Drebes, adidas AG

Session II / III

  • Risk Management in Banking
  • Case Risk Weighted Asset and Capital Charge
  • Case Loan Pricing

Session III

  • Exam Preparation

tba

Take Home Exam

Date Time
Sunday, 17.09.2023 09:00 - 16:30
Saturday, 30.09.2023 09:00 - 16:30
Sunday, 01.10.2023 09:00 - 16:30
Sunday, 22.10.2023 23:50 - 23:55
•Adequate use and judgement of basic risk management and measurement methods in finance
•Interpretation of Value-at-Risk and other key risk figures
•Distinctions between market risk and credit risk in financial markets
•Financial markets regulation
Chapter 1:Hull, J. (2015): Risk Management and Financial Institutions, chapter 1Additional: Culp, C. (2001): The Risk Management Process, Wiley, chapter 4.Chapter 2:Hull, J. (2015): Risk Management and Financial Institutions, chapter 27Additional: Culp, C. (2002): The Art of Risk Management, Wiley, chapter 9, 10.Konstantinides (1998): Clarity from competence, Risk 1998, 49.Chapter 3:Hull, J. (2015): Risk Management and Financial Institutions, chapters 5, 7, 8Additional: Bodi, Z., Kane, A., Marcus A. (2008): Investments, McGraw Hill, chapter 21-23 (selected pages, see course pack)Krapels, E. (2001): Re-examining the Metallgesellschaft affair and its implication for oil traders, in: Oil&Gas Journal.Chapter 4:Hull, J. (2015): Risk Management and Financial Institutions, chapters 6, 15, 16, 18, 19, 26 and (for VaR and probability distributions) 10—12Additional: Jorion, P. (2007): Value at Risk – The new Benchmark for Managing Financial Risk, McGraw Hill, Chapter 3, 5
Class participation (20%)

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.

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