Description:

This term, the Chair for Energy Trading and Finance will hold a special issue of the Selected Topics in Risk Management seminar. The seminar discusses Portfolio Management under Stress and will be jointly organized with Prof. Gerhard Stahl, member of the board and chief risk officer at HDI Service AG. It will be a block seminar on two days and will take place at Die Wolfsburg in Mülheim. Participants are required to attend both days with the option to stay overnight (there will be a discussion session on the first day from 20:00 to 21:30). Costs for accomodation and seminar catering will be covered.

The presentations and discussion will be based on various chapters from Portfolio Management under Stress by R. Rebonato and A. Denev (online version of the book is available).

Each participant should read all relevant chapters. Of the assigned material (typically a chapter) a talk no longer than 40 minutes should be prepared and presented at the seminar. In addition, before the seminar a seminar paper has to be handed in.

Learning Targets:

Participants are required to write a seminar paper on their chosen topic and give a  presentation by the end of the term. Each participant’s topic will be agreed upon based on adequacy and personal interest.

Literature:

• Rebonato, Riccardo, and Alexander Denev. Portfolio Management Under Stress : a Bayesian-Net Approach to Coherent Asset Allocation. Cambridge: Cambridge Univ. Press, 2013. Print.

Methods of Assessment:

Preparation of a seminar paper (15-20 pages) and its presentation (40 minutes).

Formalities:

UPDATE: Due to the cyberattacks in November, the submission deadline for the seminar paper has been extended to March 21, 2023.

Students interested in this seminar are required to send an informal email to Kateryna Chekriy by the end of day of October 19, 2022. Please include a PDF copy of your current transcript.
The number of slots in this seminar is limited. Accepted candidates will hold a first preliminary meeting at 2pm on October 26, 2022 to discuss the assignment of topics.