Master of Commerce (M.Com.) RISK MANAGEMENT Syllabus - Mumbai University

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Syllabus for RISK MANAGEMENT

Elective course · Semester 2 · M.Com. Advance Accountancy · 4 credits · 100 marks

Module I: (2 CREDITS)

Unit 1 Foundations of Risk Management A) Basic risk types, The role of risk management, Enterprise Risk Management (ERM) B) History of financial disasters and risk management failures 2007 financial crisis
Unit 2 Capital Market Risk Management A) Equity, currencies & commodities markets in India, Introduction to Derivatives, Forward, Future and option contracts, Hedging through Derivatives contract B) Fixed-income securities, Fixed-income risk management through derivatives, Rating agencies .

Module II: (2 CREDITS)

Unit 3 Credit Market Risk Management A) Introduction, Information required for evaluation of credit risk, Procedure for Credit Risk Management, Credit Lifecycle, B) Loan Review Mechanism guidelines on Credit Rating Framework in Banks, Introduction of Basel Norms
and calculation of capital adequacy ratio (Calculation)
Unit 4 Risk Measurement A) Estimation of volatilities and correlations (application to volatility term structures) Monte Carlo
simulations (application to interest rate forecasting), Linear Value-at-Risk (application to market, credit
and operational risk) B) Option valuation, Risk-adjusted return on capital (RAROC) & beta calculation, Risk management of derivatives (application to convertible risk), Interest rates and measures of interest rate sensitivity

References

 Quantitative Risk Management : A Practical Guide to Financial Risk- Thomas S. Coleman  Investment Theory and Risk Management: Steve Peterson  Risk Management : M/s Macmillan India Limited  Theory & Practice of Treasury Risk Management: M/s Taxman Publications Ltd.  Corporate Value of ERM : Sim Segal  Risk Management : Insurance and Derivatives Dr G Kotreshwar-Himalaya Publishing House .

Reproduced from the University of Mumbai syllabus for M.Com. (Advance Accountancy) under NEP 2020, in force from the academic year 2023-24. Wording is as printed in that syllabus. Module numbering is as printed there too.

The complete syllabus

This subject is cut from the University circular for its specialisation. Open a document here if you want the whole thing rather than a single subject.

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