FEDERAL EDUCATION AGENCY

STATE EDUCATIONAL INSTITUTION

OF HIGHER PROFESSIONAL EDUCATION
Kazan State Finance and Economics Institute

Department of Financial Management

Discipline: Risk Management

Study Program

Second generation State Educational Standards in Higher Professional Education

for training students in speciality 080111.65 "Marketing"

Kazan 2009
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Author: Ph.D. in Economics, Associate Professor Ms. Irina A. Filippova .

Reviewer: Ph.D. in Mathematics, Associate Professor Mr. Andrei B.

Ankudinov

Discussed at Department of Financial Management general meeting of April 6,

2009 (minutes No. 9).

Approved by the Institute’s Scientific and Methodological Council on June 8th,

2009 (minutes No.82).

Approved by Quality Control in Education:

specialist: Associate Professor Ms. E. Kuznetsova
chief specialist: Associate Professor Ms. T. Kalinina
head of department: Associate Professor Ms. R. Andreeva
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The program is prepared in accordance with second generation State
Educational Standards of Higher Professional Education for training students in
speciality 080111.65 "Marketing").

I. Organisational and procedural part

1. The purpose of studying the discipline
The purpose is to acquaint students with modern approaches in the field of risk
management, identifying risks, quantitative methods of assessing and analysing
economic risks.
2. Objectives in studying the discipline
a) To study economic risks and methods of their identification;
b) To study modern risk-management theory and methods;
c) To study and master risk assessment and analysis methods and models;
d) To study portfolio approach to risk management.
3. Requirements to the level of mastering course material
A student who is successful in studying the discipline "Risk Management"
must be familiar with:
- The nature and types of economic enterprise risks;
- methods of risk identification;
- qualitative and quantitative methods of risk assessment;
- risk management objectives and tasks;
- Modern portfolio theories;
- methods of risk management;
should be able:
- to determine the expected return and financial asset-specific, stock portfolio
and real investment project level of risk;

- to use optimisation approach to build a stock portfolio;

should have developed practical skills of:

- calculating the expected return of a financial asset and investment portfolio,
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- determining quantitatively the financial asset-specific, stock portfolio and
real investment project expected return,
- applying mathematical methods and models used in risk management.
4. Place of the discipline in professional training
Studying of "Risk Management" should be preceded by such courses as
"Mathematics", "Statistics", "Econometrics", "Economic and mathematical methods
and models in management", "Managerial decision-making", "Financial
Management".
The knowledge obtained as a result of studying "Risk Management" will give
students confidence in dealing with risk in theoretic and practical issues of
managerial decision-making, and will be used in preparation of their graduation
project and in future professional work.

II. The content of the discipline

1. Sections, topics of the discipline and their summaries
"Risk Management" course consists of eleven topics and is not divided into
sections.

Topic 1. Risk as an economic category, its nature

Definition and the nature of risk. Causes of risk. Objective and subjective
aspects of the nature of risk. The evolution of opinions regarding the category of
"risk". Categories of "risk" and "uncertainty". The nature and functions of economic
risks. Classification of economic risks according to various criteria.

Topic 2. Enterprise risk management

Theoretical and practical development of risk management in economics. Nature,
properties, goals, objectives, principles, external and internal constraints of the
enterprise risk management system.
Risk management in various industries and spheres of activity. in manufacturing
and trading enterprises, in the service industry, commercial banks and insurance
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companies. Outsourcing risk management. Risk management process: stages, their nature
and characteristics. General characteristics of methods used to influence risk:
diversification, avoidance, outsourcing, separation, setting limits, retention through
establishing of reserves, self-insurance, insurance, hedging.
Integrating risk management at the enterprise level. General characteristics of risk
management information and sources of funding. Approaches to assessing effectiveness
of risk management techniques.

Topic 3. Risk identification and analysis methods

Sources of risk identification information: questionnaires, structured diagrams,
flow charts, inspections, analysis of financial and managerial reporting. Methods of
risk identification: qualitative and quantitative risk analysis. Quantitative measures of
the overall risk level: expected return, standard deviation, variance, coefficient of
variation of expected returns. Statistical and probabilistic approaches to quantitative
risk assessment. Comparative assessment of risk-related managerial decisions.

Topic 4. Specialised risk assessment methods

Zoning approach in assessing risks and the empirical scale of risk levels.
Acceptable, tolerable, critical and catastrophic risk zones. Risk analysis and decision
making using event tree. Individual and group expert assessment of risk. General
expert assessment scheme. Forming expert groups, preparing and processing expert
assessments. Delphi method, concordance coefficient as a measure of consensus in
expert opinions.

Topic 5. Markowitz's Modern portfolio theory

The basis and nature of Markowitz's portfolio theory Features of Markowitz's
Modern portfolio. Markowitz' quantitative assessment of overall stock portfolio risk.
Naive vs. Markowitz portfolio diversification. Acceptable and effective portfolios of
risky assets. Markowitz' optimisation approach to efficient portfolio construction
accounting for overall portfolio risk. Choosing an optimal portfolio using the
optimisation and optimal solution functions of the "Solver" tool in MS Excel.
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Topic 6. Choosing rational strategy under uncertainty and risk
Game theory, matrix games, and games with nature. Efficiency matrix, costs
matrix, lost profits matrix. The nature criteria: Wald's guaranteed result, pessimism,
optimism, Savage's "minimax" risk, Hurwitz "maximin" criterion. Choosing rational
strategy under uncertainty and risk: Wald, optimism, pessimism, Savage, Hurwicz
criteria. Choosing rational strategy under conditions of risk: computing and analysis
of the weighted average expected return for each strategy and risk level.

Topic 7. Using Capital Asset Pricing Model to account for systematic risk in
assessing expected return on financial assets
Market risk, market equilibrium concept. Interpretation of the efficient frontier
equation. Quantitative assessment of financial asset and stock portfolio market risk
using "beta"-coefficient. Risk premium concept. Systematic (market) risk and
CAPM in assessing financial asset and portfolio-specific required return.
Sharpe ratio and quantitative assessment of portfolio systematic risk.
Optimisation approach to construction of Sharpe portfolio, using MS Excel "Solver"
tool to find the optimal portfolio.

Topic 8. Enterprise Financial Risk Management

The nature, main features, enterprise financial risks classification. Principles of
enterprise financial risk management. Financial and operational leverage and the
overall financial risk. Characteristics, assessment and methods of reducing typical
enterprise financial risks. Qualitative and quantitative assessment of risks in
marketing. Marketing related risk management methods.

Topic 9. Using Value-at-risk (VaR) model to assess market risks

Using Value-at-risk (VaR) index to assess and analyse financial asset and
portfolio market risk. Absolute VaR for a financial asset and stock portfolio VaR.
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Marginal VaR in a financial asset and a portfolio. Comparative analysis of VaR
calculation methods. VaR increment and relative VaR.

Topic 10. Enterprise investment risks

Nature of investments and enterprise investment activity. Goals, objectives,
principles of long-term enterprise investment decision-making. Various approaches to
managing investment risks. Systematising investment risks. Methods of assessing,
analysing and accounting investment risks. Build-up (discount rate) method. Insuring
investment risks. Tools used to reduce investment risks.

Topic 11. Investment project as the object of risk management

Classification of Investment Projects (IP). IP life-cycle. IP efficiency
assessment criteria. The nature of "investment project risk" and its assessment. Stages
of organising IP risk. Classification of project risks. IP risk analysis tools. IP risk
management methods. IP sensitivity analysis and elasticity coefficient analysis based
risk factors ranking. Monte Carlo simulation modelling to assess expected IP
effectiveness and risk level.

2. Sample course paper topics

No course paper writing for this discipline.

3. Sample questions and tasks for independent work
Questions, tasks, and references to organise students' independent work are
given in "The methodical course supplement for the discipline "Risk management"
for conducting seminars, practical workshops, organising independent work and
implementing individual assignments for training specialists in the specialty
080111.65 "Marketing".

4. Sample list of testing tasks for the exam

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Test items are located in Department's Educational Methodology Catalogue of
the discipline, with an electronic copy in the library.

III. Teaching hours for topics and activities

No. Title of the section and the topic Total Of these
Classroom lessons

Independent work
Seminars Practical work Individual work

Practical work Individual work

Individual work
Lectures Seminars Practical work Individual work

1 2 3 4 5 6 7 8
1 Risk as an economic category, 6 2 2 2
its nature
2 Enterprise risk management 8 2 2 4
3 Risk identification and analysis 8 2 2 2 2
methods
4 Specialised risk assessment 8 2 2 4
methods
5 Markowitz's Modern portfolio 10 2 2 2 4
theory
6 Choosing rational strategy under 8 2 2 4
uncertainty and risk

7 Using CAPM to account for 6 2 2 2

systematic risk in assessing
expected return on financial
assets
8 Enterprise Financial Risk 6 2 2 2
Management
9 Using Value-at-risk (VaR) 10 2 2 2 4
model to assess market risks
10 Enterprise investment risks 6 2 2 2
11 Investment project as the object 12 2 2 4 4
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of risk management
Total 88 22 4 18 10 34

IV. Form of final control point

Exam.

V. Teaching methodology course supplement

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1. Recommended Reading (Basic)

1. Investment project risk management: college textbook for students of
economics. Edited by M.V. Gracheva, A.B. Sekerin. - M.: UNITY-DANA, 2009.
2. A.S. Shapkin. Economic and financial risks. Assessing, managing,
investment portfolio. 7th ed.- M.: Publishing and Trading Corporation "Dashkov
& K", 2009.
3. A.S. Shapkin, V.A. Shapkin. Risk theory and risk modeling: textbook. - 2
ed. - M.: Publishing and Trading Corporation "Dashkov & K", 2007.

2. Recommended Reading (Supplementary)

1. S.N. Vorobiev, K.V. Baldin. "Risk Management in Entrepreneurship". - M.:
Publishing and Trading Corporation "Dashkov & K", 2006.
2. Frank J. Fabozzi. "Investment Management": Translated from English - M.:
INFRA-М, 2007.
3. N. V. Khokhlov. Risk Management: teaching aid for colleges. - M.: UNITY-
DANA, 2006.
4. W. Sharpe, H. Alexander, J. Bailey. INVESTMENTS: Translated from
English - M.: INFRA-М, 2008.
5. Encyclopaedia of Financial Risk Management / Ed. by A. A. Lobanov and
A.V. Chugunov. - M.: Alpina Publisher, 2005.

3. The list of educational and controlling software

not previewed.