Risk Management
Risk Management
Modulleitung
Studiengänge
Masterstudiengang Finance (MSc FI 20)
(01.09.2020)
Masterstudiengang Innovative Finance (MSc IF)
(01.09.2024)
Inhalt
Risk Management provides an introduction to concepts and methods for modern financial risk management and to the ideas behind its regulation.
Key topics covered are:
Key topics covered are:
- Introduction to risk management
- Risk measures: volatility, correlations, copulas, value at risk, expected shortfall
- Risk-neutral vs. real-world distributions
- Stress testing
- Market, credit, operational, liquidity, and model risk
- Rating agencies and credit ratings
Lehrmethode
- Interactive lectureExercises to be solved individually or in groups between classes
Lernergebnisse
- After successful completion of the course, students willProfessional competencesunderstand the importance and the potential of financial risk management for financial practice.select and apply appropriate risk management techniques in practice.understand financial crises and their relation to (bad) risk management. - Methodological competencesestimate risk measures from financial data using a range of established models.value credit derivativesapply appropriate methods to identify and measure financial risks. - Technological competencesuse R for simple calculations.
Literatur
- Hull, J.C. (2023) Risk Management and Financial Institutions, 6th ed., Wiley Finance.
Prüfungsmodalitäten
Final written exam