Description:

Please note that this course will start on November 3, 2021, after the end of the Basic Course Financial Mathematics. The Basic Course Financial Mathematics is a mandatory part of the course and relevant for the exam.

Learning Targets:

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.

Outline:

1. Risk Categories: Market Risk, Credit Risk, Liquidity Risk, Operational Risk, Model Risk, Counterparty Credit Risk
2. Regulation: Basel II/III, Solvency II
3. Risk Measures: Value at Risk, Expected Shortfall, Coherent Risk Measures
4. Option Pricing (Binomial, Black-Scholes-Merton), Greeks, Hedging Strategies
5. Monte Carlo Methods

Literature:

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:

Exam

Formalities:

Login into your ZIM account to access the Moodle key under "Material".

Material:

• The course material is only available to a restricted user group. You are either not logged in or not in the usergroup.