34547 - RISK MANAGEMENT

Conoscenze e abilità da conseguire

The student collates the risk management techniques by corporations and financial institutions. He can identify a company’s risk exposure and select the most appropriate financial derivative instrument to hedge against it.

Contenuti

This course focuses on finance-related risk management techniques designed to maximize value of firm. The course highlights the management of financial risk with emphasis on recognition of financial price risk and tools of risk management from business firm's perspective. A relevant part of the course is devoted to the analysis of derivatives and their uses in risk management.

The course is divided into four parts:

I: Concepts and the economics of Risk Management

II: Understanding and measuring financial risk

III: Tools for Market Risk Management (financial derivatives)

IV: The practice of Risk Management

The first part of the course will address the general concepts of risk management, trying to give an answer to the question “why do firms (should) hedge?”. The second and the third part will be the most technical and it will cover the tools for measuring and hedging risks. During this part you will become familiar with concepts such as forward, futures, options and swaps (commonly known as financial derivatives). The last part will focus on the strategy of the risk management.

Testi/Bibliografia

List of papers:

P1: Smith, C.W., 2008. Managing corporate risk. In Handbook of Corporate Finance: Empirical Corporate Finance. Elsevier/North-Holland, Vol 2, pp. 539–556.

P2: Renè M. Stulz, 1996. Rethinking Risk Management. Journal of Applied Corporate Finance, 9(3), 8-25.

(http://www.cob.ohio-state.edu/fin/faculty/stulz/publishedpapers/Rethinking%20Risk%20Management.pdf)

Case study:

Merton electronics, Case studies in Finance, by Robert F. Brunner, 4th Edition, McGraw Hill, 2003, pp 463-473;

You also may find interesting reading this (optional readings):

Aswath Damodaran, 2008, Strategic risk taking: a framework for risk management, Prentice Hall (chapter 10).

(http://people.stern.nyu.edu/adamodar/pdfiles/papers/hedging.pdf)

John Hull, "Options, futures and other derivatives", 8/e, 2011, Prentice Hall (chapters: 1, 2, 3, 5 and 9)

Metodi didattici

The course will be divided in theoretical lectures and applied sessions dedicated to solving case-based problems. During the course it will be made large use of real-data gathered from financial web sites.

Whiteboards and slides will be mixed to deliver the content of the course.

Modalità di verifica e valutazione dell'apprendimento

A 60 minutes exam will take place during the official sessions and it will be a comprehensive final exam including the four sections of this course. Although the Risk Management exam will be delivered along with the other two modules of the Corporate Finance I.C., it will be your option taking only the exam of this module (taking the other modules in any of the other exam sessions). The exam will include one practical case and a theoretical part. The practical case is aimed to assess your ability to put in practice corporate hedging techniques; the theoretical part is intended to evaluate your level of understanding of the main rationales for hedging and the most common techniques used for such a goal.

The final grade is determined as follow:

Case Presentation and class participation up to 3 points

Written exam up to 30 points

Practical case (up to 20 points)

Open question (up to 10 points)

 

In case online exams will be envisaged by the University of Bologna, the structure of the written exam is the same. The exam will be run through Zoom and Qualtrics. Detailed instructions on how to manage and hand in the online exam will be available on the VIRTUALE platform.

The maximum possible score is 30 cum laude, in case all anwers are correct, complete and formally rigorous.

The grade is graduated as follows:

<18 failed
18-23 sufficient
24-27 good
28-30 very good
30 e lode excellent

Strumenti a supporto della didattica

Dedicated page on the VIRTUALE platform containing:

• News and updated information
• Lectures slides
• Excel files

Orario di ricevimento

Consulta il sito web di Emanuele Bajo