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INSTRUCTOR: Andrei Zaporozhetz, MBA, CPA
E-MAIL: az.invest@yahoo.com
CLASS HOURS: Fridays, 15:20-17:55
PREREQUISITES: Business Finance-I and -II
COURSE DESCRIPTION:
§ This advanced course in risk management (RM) covers topics on business risk identification, analysis, and management, with the emphasis on risk description and classification. It is corporate-oriented and includes practical applications and problem-solving techniques.
§ After some introductory coverage of RM process and types of risks, we are going to learn how to measure and manage various kinds of risks. Other topics will include leverage, forecasting techniques, risk scorecards, trough management, and decision-making under uncertainty.
§ The project paper shall cover identification and assessment of risks of an international public company.
LEARNING OBJECTIVES:
1. Understand the risk management process that can be applied to a risk universe in businesses;
2. Develop an understanding of what risk is, how it can be measured and transferred, and why corporations care about risk;
3. Understand and apply diversification in portfolio risk management;
4. Understand and apply revenue and profit optimization models and forecasting techniques;
5. Understand and apply the decision-making techniques under uncertainty.
COMMUNICATIONS:
Outside the class, students should communicate with the instructor via e-mail. In the subject line, please put WIUU.RM.FamilyName. E-mail messages will normally be answered within 24 hours.
ATTENDANCE POLICY:
Class attendance is not obligatory and will not be considered as part of the course grade. The student, however, is responsible for coverage of all the materials of the class and the homework. Moreover, if a student misses the class, he/she will automatically receive zero points for the test given at the beginning of the missed class.
Class participation is important and can favorably affect your grade. There might be bonus points granted by the instructor for active participation in class and/or answering instructor’s questions in class, surprise quizzes, or homework. The number of those extra points will remain at the instructor’s discretion. The maximum number of such points received by one student, however, shall not exceed 20.
HOMEWORK assigned will consist of reading the required (main) textbook and/or additional materials, as well as problem solving tasks, e.g., end-of-chapter Questions, Problems, (as stated in brackets under “Assignments” below).
EXAMINATIONS AND TESTS:
Examinations will be based on the lectures materials/slides, the textbook and additional materials. Exams will be closed book and closed notes. Students may have a two-page formula sheet and a financial calculator. No cell phones are allowed as calculators. Students are not allowed to unstaple their examination papers. Taking the staple off shall be penalized with minus 10 points.
No make-up examinations will be given, except force-majeure circumstances, in particular, student’s illness. In order to be accepted, a force-majeure case has to be duly certified.
Class (scheduled) tests and Surprise tests might be given to test familiarity with financial concepts and problem-solving techniques. Points earned with Surprise tests will be applied as extra credit. The tests will be closed book and closed notes. Students will be allowed to use have a two-page formula sheet and a financial calculator. The quizzes are NOT group work. You cannot consult with, talk to, communicate with, or pass telepathic messages to anyone else in or out of the classroom.
GRADING POLICY:
| 4 tests Team project Midterm exam Final exam Total: Bonus points | Maximum of: 40 points 60 points 50 points 50 points 200 points 20 points MAX | A + A A - B + B B - C + C C - | > 195 186 - 195 180 - 185 176 - 179 166 - 175 160 - 165 156 - 159 146 - 155 140 - 145 | D + D D - F | 136 - 139 126 - 135 120 - 125 < 120 |
REQUIRED TEXTBOOK:
There will be no certain textbook for this course. Instead, you will be provided with certain materials/slides/worksheets prepared by the instructor. All the materials will be available on the “Server T”, instructor’s folder (“Zaporozhetz”), after each class.
Selected textbooks:
§ Corporate Finance / Ross, Westerfield, Jaffe. – 4-th edition, McGraw-Hill/Irwin, 1996, (RWJ).
§ Risk Management and Insurance / Harrington, Niehaus. – 2-nd edition, McGraw-Hill/Irwin, 2004.
MINI-PRESENTATIONS:
are optional, and will be assigned for a particular topic to present in class. MAX of 15 slides (.ppt). Each student is welcome to choose 1 mini-presentation topic during the course, for extra points of 10 maximum. Please provide your instructor with a printout of your presentations prior to the class, and e-mail your presentation after the class for grading.
Pls make sure that your presentations (slides) are properly named (course; date; family name; title) and numbered. The list of used sources shall include no less than three good sources.
NB: the number of mini-presentations is limited by the instructor; the students will have to compete for reserving a topic out of the available ones.
TOPICS:
CLASS SCHEDULE:
CLASS: TOPIC: ASSIGNMENTS: TESTS:
Class 1 Introduction to Risk MGT. SYLLABUS
Types of Risks. IRM RM Standard 2002.
Risk maps. Slides
Class 2 Enterprise Risk Management. SMA ERM 2006
Business Risk Management. Lecture (optional)
Class 3 Risks of Financial Investments:
Sigma, Beta, Residual risk. RWJ: Ch. 9, 10.
Coefficient of determination.
Class 4 Leverage. DFL, DOL, DTL. RWJ: Ch. 8.3.
Sensitivity. Tornado chart.
Class 5 Optimization models. Slides TEST 1 Sensitivity
Class 6 Country risks. Risk scorecards. Slides TEST 2 Optimization
Midterm Exam Review
Class 7 MIDTERM EXAM
Class 8 Individual presentations
Class 9 Forecasting techniques. Slides
Linear regression. Seasonality.
Autocorrelation.
Class 10 SMA ERM 2007. SMA.
Trough MGT. Slides TEST 3 Forecasting)
Class 11 Decision making under uncertainty. Slides
Class 12 Fraud in corporations. Lecture. TEST 4 DMUU
Class 13 TEAM PROJECTS PRESENTATIONS Project papers due
Final Exam Review
Class 14 FINAL EXAM
The above schedule is a tentative one and is subject to change as we proceed through the semester.
RISK IDENTIFICATION TEAM PROJECT:
Please make up teams of 4-5 students. The team lists stating their names shall be ready by the second class meeting.
Go to SEC/EDGAR database (or other relevant source) to choose a well-known public company.
From the information provided, pls identify and assess 10 most important (in your opinion) downside risks facing your company’s businesses. You can use various risk identification techniques, as well as decision making techniques (e.g., EJM). List those and comment your work.
Classify your risks according to SMA ERM 2006 and IRM RM Standard 2002 (financial, strategic, operational, hazard; internally-driven or externally-driven risks). Quantify their significance and probability. Estimate the expected monetary value (EMV; loss) for each risk.
Map the risks identified on a bubble chart; the weight of expected monetary loss shall be the weights of the bubbles, e.g.:
Teams can use other relevant sources in information of needs be (pls include all the sources referred to and used).
Prepare a team report including all of the items listed above for your stock. Summarize and organize your data so that it is easy to follow. The individual tasks of this project should be allocated among the members of your team as equally as possible. However, it is very important that each team member understands each part of the project in order to fully benefit from the project.
Project papers (printouts of 15 - 20 pages) and e-copies of your reports are due by Class 13.
GOOD LUCK!
Version: 2
Oct 26, 2012
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