Lehrveranstaltungen im Wintersemester 18/19
Financial Risk Management (FRM)
At the end of this course, Students will be able to demonstrate that they can:
- understand the core principles of quantitative risk management.
- understand mathematical and statistical techniques used in risk management.
- use Monte-Carlo methods for risk measure calculations.
- apply the theoretical principles discussed in class to real-world problems.
- apply the knowledge gained to current problems in academic research.
- recapitulate topics discussed in class.
- discuss issues in the field of risk and bank management both in German and English.
- communicate and debate topics of the lecture in a structured and professional way.
- Risk Categories: Market Risk, Credit Risk, Liquidity Risk, Operational Risk, Model Risk, Counterparty Credit Risk
- Regulation: Basel II/III, Solvency II
- Risk Measures: Value at Risk, Expected Shortfall, Coherent Risk Measures
- Option Pricing (Binomial, Black-Scholes-Merton), Greeks, Hedging Strategies
- Monte Carlo Methods
Bingham, N.H. & Kiesel, R. Risk-Neutral Valuation. Springer, 2004.
Hull, J. Risk Management and Financial Institutions. John Wiley & Sons, 2015.
Jorion, P. Value-at-Risk. McGraw-Hill, 2006.
Hull, J. Options, Futures, and Other Derivatives. Pearson Education, 2014.
McNeil, A., Frey, R., Embrechts, P. Quantitative Risk Management. Princeton University Press, 2015.
Methods of Assessment: