GRA 6545 Enterprise Risk Management

GRA 6545 Enterprise Risk Management

Course code: 
GRA 6545
Department: 
Finance
Credits: 
6
Program of study: 
Master of Science in Finance
Course coordinator: 
Costas Xiouros
Product category: 
Master
Portfolio: 
MSc in Finance
Semester: 
2020 Spring
Active status: 
Active
Teaching language: 
English
Course type: 
One semester
Introduction

The recent global financial crisis and corporate risk failures created the need for more efficient management of risk and question the traditional risk management practices. One approach that has been gaining popularity is the Enteprise Risk Management (ERM) that enables companies to establish businesses that are more sustainable against external and internal risks as well as changes to the economic environment. ERM is based on the idea that risk management is a strategic and organization-wide issue and that careful identification and assessment of all the important risks, as well as a portfolio approach to risk, are vital for protecting and maximing value.

In this course, we will combine the analytical-theoretical approach to corporate value maximization with the practical knowledge and experience gained from risk failures and successes, on which the ERM approach is based, and quantitative risk analytics. The course structure reflects the fact that risk management is viewed as both an art and a science.

A third and important component of the course is derivatives, that provide two important elements for utilizing ERM: (i) a significant set of tools for managing financial and other risks and (ii) the pricing of contingent claims which provides a way to perform a cost-benefit analysis for maximizing organizational value.

Learning outcomes - Knowledge

By the end of the course the students should know:

  • the various ways in which enterprise risk management (ERM) can add value to a corporation, whether operating internationally or locally.
  • the instruments and the strategies used to manage risks
Learning outcomes - Skills

By the end of the course the students should be able to:

  • perform both qualitative and quantitative risk analysis for a firm
  • price derivative securities and evaluate non-linear cash-flows of a firm
General Competence

The students by the end of the course should be able to

  • use the theory and concepts and apply the quantitative and digital tools to design and implement a risk management strategy for a firm.
Course content

The course will cover a large spectrum of topics that are necessary for the design and implementation of an analytical framework of ERM:

  • History, framework and implementation of ERM
  • Lessons from risk failures and risk management successes
  • Risk analytics and risk management strategies
  • Overview of derivatives markets
  • Pricing of and hedging with forwards, futures, options and swaps.
  • Valuing non-linear contingent cash-flows
  • Managing risk with and without financial frictions.
  • Risk capital and risk-adjusted performance
Teaching and learning activities

The course combines lectures and workshops. The lectures will  be plenary where the theories, concepts and methodologies will be presented. The workshops will be held in smaller groups where there will be in-class examples, cases, discussions and group presentations. The workshops will be focused on applying the theory and methods, in solving problems, discussing cases and hands-on learning of digital tools used for risk analytics.

Software tools
Matlab
Additional information

Please note that while attendance is not compulsory in all courses, it is the student’s own responsibility to obtain any information provided in class.

This is a course with continuous assessment (several exam components) and one final exam code. Each exam component is graded by using points on a scale from 0-100. The components will be weighted together according to the information in the course description in order to calculate the final letter grade for the examination code (course). Students who fail to participate in one/some/all exam elements will get a lower grade or may fail the course. You will find detailed information about the point system and the cut off points with reference to the letter grades when the course starts.

At resit, all exam components must, as a main rule, be retaken during next scheduled course.

Honour Code

Academic honesty and trust are important to all of us as individuals, and represent values that are encouraged and promoted by the honour code system. This is a most significant university tradition. Students are responsible for familiarizing themselves with the ideals of the honour code system, to which the faculty are also deeply committed.

Any violation of the honour code will be dealt with in accordance with BI’s procedures for cheating. These issues are a serious matter to everyone associated with the programs at BI and are at the heart of the honour code and academic integrity. If you have any questions about your responsibilities under the honour code, please ask.

Qualifications

All courses in the Masters programme will assume that students have fulfilled the admission requirements for the programme. In addition, courses in second, third and/or fourth semester can have specific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.

Exam categoryWeightInvigilationDurationSupport materialsGroupingComment exam
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
GRA65451
Grading scale:
Point scale
Grading rules:
Internal examiner
Resit:
All components must, as a main rule, be retaken during next scheduled course
30No 1 Semester(s)Group ( 3 - 5)Three group assignments/case studies, each carrying a weight of 10%.
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
GRA65451
Grading scale:
Point scale
Grading rules:
Internal examiner
Resit:
All components must, as a main rule, be retaken during next scheduled course
20Yes 1 Hour(s)
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Individual Midterm written exam under supervision.
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
GRA65451
Grading scale:
Point scale
Grading rules:
Internal and external examiner
Resit:
All components must, as a main rule, be retaken during next scheduled course
50Yes2 Hour(s)
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Individual Final written examination under supervision.
Exams:
Exam category:Submission
Form of assessment:Written submission
Weight:30
Invigilation:No
Grouping (size):Group (3-5)
Support materials:
Duration: 1 Semester(s)
Comment:Three group assignments/case studies, each carrying a weight of 10%.
Exam code: GRA65451
Grading scale:Point scale
Resit:All components must, as a main rule, be retaken during next scheduled course
Exam category:Submission
Form of assessment:Written submission
Weight:20
Invigilation:Yes
Grouping (size):Individual
Support materials:
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Duration: 1 Hour(s)
Comment:Midterm written exam under supervision.
Exam code: GRA65451
Grading scale:Point scale
Resit:All components must, as a main rule, be retaken during next scheduled course
Exam category:Submission
Form of assessment:Written submission
Weight:50
Invigilation:Yes
Grouping (size):Individual
Support materials:
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Duration:2 Hour(s)
Comment:Final written examination under supervision.
Exam code: GRA65451
Grading scale:Point scale
Resit:All components must, as a main rule, be retaken during next scheduled course
Type of Assessment: 
Continuous assessment
Grading scale: 
ECTS
Total weight: 
100
Sum workload: 
0

A course of 1 ECTS credit corresponds to a workload of 26-30 hours. Therefore a course of 6 ECTS credits corresponds to a workload of at least 160 hours.