Lehrveranstaltungen im Wintersemester 17/18

Qualifikationsziele:

Students

  • 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.

Gliederung:

  1. Risk Categories: Market Risk, Credit Risk, Liquidity Risk, Model Risk, Counterparty Credit Risk
  2. Regulation: Basel II/III, Solvency II
  3. Risk Measurements: Value at Risk, Expected Shortfall, Coherent Risk Measures
  4. Option Pricing, Greeks, Hedging Strategies
  5. Monte Carlo methods

Literatur:

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.

Prüfungsart:

Exam