ANJUMAN ENGINEERING COLLEGE

DEPARTMENT OF MANAGEMENT STUDIES (MBA)

TEACHING SCHEDULE
Subject with code : RISK MANAGEMENT (08MBAFM 427)
Faculty name : B.Venkatareddy

Sl no Topic Depth of coverage Remarks

1 MODULE 1 Over view of Risk: Risk identification, Risk.

2 Insurance and Management: Introduction to Risk and
Insurance. Risk identification and Risk Evaluation.
3 Financial assets, and Human assets, Exposure to legal
liability. Risk Management, Risk control.
4 Risk assessment & Management- Risk analysis: Exposure
of physical assets.

5 MODULE 2 Risk Management using futures and forwards

differences.
6 Valuation of futures.
7 Valuation of long and short forward contract.
8 Mechanics of buying &selling futures.

9 Margins, Hedging using futures.

10 Specification of futures -Commodity futures.

11 Index futures interest rate futures-arbitrage opportunities.
12 MODULE 3 Risk Management using Swaps: Mechanics of interest
rate swaps.
13 Volatility of interest rate swaps.
14 Currency swaps.

15 Valuation of currency swaps.

16 Problems.
17 Problems.

18 Problems.
19 Problems.
20 MODULE 4 Risk Management using Options: Types of options.
21 Option pricing, factors affecting option pricing.

22 Call and put options on dividend and non-dividend paying

stocks.

23 Call parity-mechanics of options- stock options.

24 Options on stock index- options on futures – interest rate
options.

25 Hedging & Trading strategies involving options.

26 Valuation of option: basic model.

27 One step binomial model, Black and Sholes analysis,

option Greeks.
28 Arbitrage profits in options.

29 Concept of exotics option.

30 MODULE 5 Commodity derivatives: commodity futures market-
exchanges for commodity futures in India.
31 Commodity futures market-exchanges for commodity
futures in India.
32 Forward markets.

33 Commissions and regulation-commodities traded –

trading and settlements.

34 Commodities traded.
35 Trading and settlements – physical delivery of
commodities.
36 Physical delivery of commodities.
37 MODULE 6 Interest rate markets- Type of rates.
38 Zero rates.

39 Bond pricing.

40 Determining Zero rates.

41 Forward rules, Forward rate agreements (FRA).

42 Treasury bond.

43 Treasury note futures, Interest rate derivatives (Black

model).
44 MODULE 7 Credit risk-Bond prices and the probability of default.
45 Historical default experience.

46 Reducing exposure to Credit risk.

47 Credit default swaps, Total return swaps.

48 Credit spread options, Collateralized debt obligation.
49 MODULE 8 Value at Risk (VAR)-Measure.
50 Historical simulation.

51 Model building approach.

 52 Linear approach.
53 Quadratic model.
54 Monte Carlo simulation.
55 Stress testing and back testing.
56 Stress testing and back testing.

Faculty signature HOD Principal