Syllibus Mgt 625[1]
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Course M G T Code: L 3
T 1
6 P 0
2
5
Course Title:
DERIVATIVES & RISK MANAGEMENT
Credit (or Max. Marks) 4
CA 40
Weightages MTE ETE 20 40
Pre-requisites: Sr. No.
Topic
1.
Introduction to derivatives: Definition, Products, Participants and functions, types of members to be included, types of derivatives and Exchange-traded vs. OTC derivatives markets. Introduction to futures: Forward contracts, Limitations of forward markets, Introduction to futures, Stock Index futures, Commodity Futures and Currency Futures, Distinction between futures and forwards contracts, pay-off and profit/loss diagrams. Introduction to options: Option terminology, Distinction between Futures and options, Index derivatives. Valuation of options; European and American calls and puts, Pay-off and Profit/loss diagrams, Black-Scholes option pricing model(including currency and commodity options) Risk Management and Futures & Options: Use of Futures (Strategies of hedging, speculation and arbitrage): Index futures, Stock futures; Use of Options (Strategies of hedging, speculation and arbitrage): Index options, Stock options, currency and commodity options; Risk management structure and policies. Management of Derivatives Exposure: Introduction, nature of derivatives trading, setting of Risk-vision, reasons for managing derivatives risk and types of risk in derivative trading. Trading: Futures and options trading system, Entities in the trading system, Basis of trading, Corporate hierarchy, Order types and conditions, The trader workstation, The market watch window, Inquiry window, Placing orders on the trading system. Clearing and settlement Marks: Clearing entities, Clearing members, Clearing banks, Clearing mechanism, Settlement mechanism, Settlement of futures contracts, Settlement of options contracts, Special facility for settlement of institutional deals. Regulatory framework : Regulation for derivatives trading and SEBI guidelines related to derivatives trade: L.C Gupta committee Report &J.R Varma committee report. Total
2. 3
4
5 6 7 8
Textbook: Varma, Jayanth, Derivatives and Risk Management, Tata Mc Graw Hill Publications: New Delhi:2008 Additional Readings:
Approximate No. of Lectures (Schedule keeping total as 12*L) 4 5 5
5
5 5 4 3 36
Gupta, S.L. Financial Derivatives, Prentice Hall Publications, New Delhi:2008 Kolb, Robert W: Understanding Futures Markets, Prentice Hall Inc., New Delhi.
Component of Continuous Assessment: (To be reported out of 100) Sr. No Component Frequency in term 1 2. 3 4 3. Total
Attendance Assignments Case Studies Quiz Term Paper(minor Project)
Additional Passing Requirements (if any):
Salient Pedagogical Strategies • • • • • •
Slide Show Presentation By Students Dummy Trading. News Analysis(L & T) Case based teaching Group Discussions(T)
04 02 02 01
Marks
100
10 40 20 20 10
Course M G T Code: L 3
T 1
6 P 0
2
5
Course Title:
DERIVATIVES & RISK MANAGEMENT
Credit (or Max. Marks) 4
CA 40
Weightages MTE ETE 20 40
Pre-requisites: Sr. No.
Topic
1.
Introduction to derivatives: Definition, Products, Participants and functions, types of members to be included, types of derivatives and Exchange-traded vs. OTC derivatives markets. Introduction to futures: Forward contracts, Limitations of forward markets, Introduction to futures, Stock Index futures, Commodity Futures and Currency Futures, Distinction between futures and forwards contracts, pay-off and profit/loss diagrams. Introduction to options: Option terminology, Distinction between Futures and options, Index derivatives. Valuation of options; European and American calls and puts, Pay-off and Profit/loss diagrams, Black-Scholes option pricing model(including currency and commodity options) Risk Management and Futures & Options: Use of Futures (Strategies of hedging, speculation and arbitrage): Index futures, Stock futures; Use of Options (Strategies of hedging, speculation and arbitrage): Index options, Stock options, currency and commodity options; Risk management structure and policies. Management of Derivatives Exposure: Introduction, nature of derivatives trading, setting of Risk-vision, reasons for managing derivatives risk and types of risk in derivative trading. Trading: Futures and options trading system, Entities in the trading system, Basis of trading, Corporate hierarchy, Order types and conditions, The trader workstation, The market watch window, Inquiry window, Placing orders on the trading system. Clearing and settlement Marks: Clearing entities, Clearing members, Clearing banks, Clearing mechanism, Settlement mechanism, Settlement of futures contracts, Settlement of options contracts, Special facility for settlement of institutional deals. Regulatory framework : Regulation for derivatives trading and SEBI guidelines related to derivatives trade: L.C Gupta committee Report &J.R Varma committee report. Total
2. 3
4
5 6 7 8
Textbook: Varma, Jayanth, Derivatives and Risk Management, Tata Mc Graw Hill Publications: New Delhi:2008 Additional Readings:
Approximate No. of Lectures (Schedule keeping total as 12*L) 4 5 5
5
5 5 4 3 36
Gupta, S.L. Financial Derivatives, Prentice Hall Publications, New Delhi:2008 Kolb, Robert W: Understanding Futures Markets, Prentice Hall Inc., New Delhi.
Component of Continuous Assessment: (To be reported out of 100) Sr. No Component Frequency in term 1 2. 3 4 3. Total
Attendance Assignments Case Studies Quiz Term Paper(minor Project)
Additional Passing Requirements (if any):
Salient Pedagogical Strategies • • • • • •
Slide Show Presentation By Students Dummy Trading. News Analysis(L & T) Case based teaching Group Discussions(T)
04 02 02 01
Marks
100
10 40 20 20 10
