PTMBA2023 Risk Management
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
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)
Date | Time |
---|---|
Sunday, 29.01.2023 | 09:00 - 16:30 |
Saturday, 04.02.2023 | 09:00 - 16:30 |
Sunday, 05.02.2023 | 09:00 - 16:30 |
Sunday, 26.02.2023 | 23:50 - 23:55 |
•Interpretation of Value-at-Risk and other key risk figures
•Distinctions between market risk and credit risk in financial markets
•Financial markets regulation
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.