FNCE309 ENTERPRISE RISK MANAGEMENT

Transcription

1 FNCE309 ENTERPRISE RISK MANAGEMENT Instructor Name : Judy Lee / Liengseng Wee Title : Adjunct Faculty of Finance judylee@smu.edu.sg / lswee@smu.edu.sg Office : LKCSB Level 5 COURSE DESCRIPTION This course will cover Enterprise Risk Management principles, frameworks and practices. Students will learn about Strategic, Operational, Financial Market, Political, Legal/Regulatory and Event risks through lectures and case studies. They will also learn how to identify risk drivers in corporations and to assess the mix and level of risk exposures, quantify earnings-at-risk, value-atrisk and cashflow-at-risk, and make capital allocation decisions using risk-adjusted metrics. LEARNING OBJECTIVES By the end of this course, students will able to: Describe risk issues faced by corporations across many sectors Explain risk management frameworks used in managing risks Assess risk drivers for a corporation Explain why risk quantification is important and basic quantification approaches Discuss how risk management is a powerful tool for both strategic and tactical decisions PRE-REQUISITE/ CO-REQUISITE/ MUTUALLY EXCLUSIVE COURSE(S) Please refer to the Course Catalogue on OASIS for the most updated list of pre-requisites / co-requisites for this particular course. Do note that if this course has a co-requisite, it means that the course has to be taken together with another course. Dropping one course during BOSS bidding would result in both courses being dropped at the same time. ASSESSMENT METHODS Class Participation: 20% Attendance and weekly Case Preparation is a requirement o Homework Assignment for Session 2 o VAR Assignment (5%) Mid-Term: 25% Final Examination: 25% Group Project and Presentation: 25% (Content, Team & Individual Contribution) ACADEMIC INTEGRITY All work presented in this class must be student s own work and not copied without appropriate citation from any source, including the internet. Presenting of copied work not the student s own will result in disciplinary action, which may include award of zero marks for assignment or fail grade for the class. This policy applies to all work submitted, either through oral presentation, or written work, including outlines, briefings, group projects, self-evaluations etc. Students are encouraged to consult the lecturers if they have questions concerning the meaning of plagiarism or whether a particular use of sources constitutes plagiarism.

2 INSTRUCTIONAL METHODS AND EXPECTATIONS Class Participation Participation is central part of the learning process for you and your classmates. Participation marks reflect your contribution to your classmates learning. This includes attendance, full preparation prior to class including the assigned materials and case studies. We expect you to be prepared for classes by going through the assigned readings and cases. Students are expected to read leading dailies/weeklies such as Wall Street Journal, Financial Times, Business times, The Economist, and Business Week. Students will select a current risk issue from the above periodicals and each class will commence with a short discussion of the articles selected by students. The other aspect of class participation will include any mini assignments and group activities. Most of the learning in class will be done through discussions, assignments and project. Project Groupings and Size The project groups for the assignment and term project will be different. Project groupings will be randomly allocated. Group sizes will be between three to five individuals depending on class size. Group Projects There will be a full term project and the requirements and expectations will be given in class. There will be a 30 minute presentation and submission of hard and soft copies of both the powerpoint presentation and accompanying report. Examinations The Mid-Term Examination will cover topics from lessons 1 to 6. The Final Examination will be cumulative. Both are closed-book and closed-notes unless stated otherwise. No make up examinations are allowed without prior permission. Students are expected to follow the school s examination policy. Among other things, you need to bring your own calculator(s) to the exams; you are not allowed to share calculator(s) with one another. You also need to silence your cell phone and keep it away from the desk during the entire duration of the exams. CONSULTATIONS AND TEACHING ASSISTANTS Consultations will be done through the teaching assistants assigned to the class. The teaching assistants are fully qualified to given consultations. However, the professors will be available after class for consultation as well. It is best that all doubts are cleared during the class discussions to for everyone s benefit. CLASS TIMINGS The course will be taught according to the schedule given below as the professors are full-time risk and strategic consultants as well, thus lessons are scheduled according to their availability and can be changed due to travel arrangements. Please ensure that the classes and examinations do not clash with that of other courses. Each session will be taught in a 3-hour lesson. RECOMMENDED TEXT AND READINGS Students will be provided with instructors own notes and case studies in class to follow during the course Recommended Textbook: Author: Charles W. Smithson Title: Managing Financial Risk: A Guide To Derivative Products, Financial Engineering & Value Maximization Publisher: McGraw-Hill Michel Crouhy, Dan Galai, Robert Mark Additional Readings From The Following Textbooks: The Essentials of Risk Management McGraw-Hill Chris Marrison The Fundamentals of Risk Measurement

3 McGraw-Hill CLASS TIMINGS Given that the professors are based in New York City and fly in to teach, there will be 2 sessions per week during the weeks they are in Singapore. The following schedule may change due to changes in flight arrangements. Class timings will be as follows: Fridays: pm Saturdays: pm Date Time Venue Remarks 1 Friday 7 Jan pm Intro to ERM, Homework Assigned 2 Saturday 8 Jan pm Risk Management in Corporations 3 Friday 14 Jan pm Operational Risk 4 Saturday 15 Jan pm Strategic Risk 5 Friday 21 Jan pm Financial Market Risk 6 Saturday 22 Jan pm VAR Quantification and Financial Instruments 7 Friday 28 Jan pm Midterm Exam 8 Friday 11 Feb pm Trading Risk, Credit Risk 9 Saturday 12 Feb pm Extreme Market Volatility and Stress Testing 10 Friday 18 Feb pm Country/Political, Regulatory/Legal Risks 11 & 12 Saturday 19 Feb pm RAROC and Measuring Performance, Risk Governance and Management Break Prepare For Case Study Presentations 13 Friday 25 Mar pm Case presentations Day 1 14 Saturday 26 Mar pm Case Presentations Day 2 15 Friday 1 Apr pm Final Quiz

4

5

6

7

8

9