Description:

Please note that this course will start on October 10, 2023. The Basic Course Financial Mathematics is a mandatory part of the course and relevant for the exam. It takes place on Tuesdays at 4pm and Wednesdays at 10 am during the first two weeks of the term.
You are automatically added to the Moodle course room for the Basic Course Financial Mathematics if you enroll for the Energy Trading Moodle Course (see below).

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" below.

Material:

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