GRA 6545 Risk Management


GRA 6545 Risk Management

Responsible for the course
Geir Bjønnes

Department of Financial Economics

According to study plan

ECTS Credits

Language of instruction

This course provides an introduction to derivatives and risk management for non-financial firms.

Learning outcome
This course will give students an understanding of corporate risk management: why corporations should hedge and what tools they may use to do so. The course will give an overview of the pricing and use of derivatives for risk management, as well as insights into the corporate hedging decision. The course will contain both theory and examples/cases of risk management applications.

GRA 6540 Applied Finance or equivalent
GRA 6543 Introduction to Asset Pricing or equivalent

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 spesific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.

Compulsory reading
McDonald, Robert L. 2014. Derivatives markets. 3rd ed., New international ed. Pearson Education
Stulz, René M. 2002. Risk management & derivatives. Thomson South-Western

Collection of articles:
Supplementary readings

During the course there may be hand-outs and other material on additional topics relevant for the course and the examination.

Recommended reading
Hull, John C. 2015. Options, futures, and other derivatives. 9th ed. Pearson

Course outline
(Details may vary from year to year)
1. Pricing of forwards, futures, options
2. Hedging with forwards, futures, options
3. Motives for hedging: why should firms hedge?
4. Measuring risk: value-at-risk and cash-flow -at -risk
5. Binominal pricing and the Black-Scholes model
6. Case study(ies)

Computer-based tools

Learning process and workload
A course of 6 ECTS credits corresponds to a workload of 160-180 hours.
Lectures. (Class participation and problem solving is essential).

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 that is not included on the course homepage/It's learning or text book.

The course grade will be based on the following activities and weights:
30% Assignment (quizzes)
Final written 3-hour exam accounts for 70% of the grade.

Form of assessment Weight Group size
Assignment 30%
Written examination 3 hours 70%

Specific information regarding student assessment will be provided in class. This information may be relevant to requirements for term papers or other hand-ins, and/or where class participation can be one of several components of the overall assessment. This is a course with continuous assessment (several exam components) and one final exam code. Each exam component is graded using points on a scale from 0-100. The final grade for the course is based on the aggregated mark of the course components. Each component is weighted as detailed in the course description. Students who fail to participate in one/some/all exam components will get a lower grade or may fail the course. You will find detailed information about the points system and the mapping scale in the student portal @bi.

Examination code(s)
GRA 65451 continuous assessment accounts for 100% of the final grade in the course GRA 6545.

Examination support materials
BI approved exam calculator
Bilingual dictionary
Interest tables

Permitted examination support materials for written examinations are detailed under examination information in the student portal @bi. The section on support materials and the use of calculators and dictionaries should be paid special attention to.

Re-sit examination
It is only possible to retake an examination when the course is next taught. The assessment in some courses is based on more than one exam code. Where this is the case, you may retake only the assessed components of one of these exam codes. All retaken examinations will incur an additional fee. Please note that you need to retake the latest version of the course with updated course literature and assessment. Please make sure that you have familiarised yourself with the latest course description.

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

Any violation of the honor 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 honor code and academic integrity. If you have any questions about your responsibilities under the honor code, please ask.