Description:

Um diese Lehrveranstaltung zu besuchen, müssen Sie diese im Zeitraum 19.10.2020 -- 13.11.2020 im LSF (Link s.o.) belegen. Daraufhin erhalten Sie auch den Moodle-Einschreibeschlüssel per Mail.

In order to attend this course, you have to enroll in this course via the LSF (see link above) between October 19, 2020 and November 13, 2020. You will then receive the Moodle password by email.

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:

After registration in the LSF, the Moodle password will be distributed by email.