Risk Management
Risk Management
Module Coordinator/Lecturers
Study Programmes
Masterstudiengang Finance (MSc FI 20)
(01.09.2020)
Masterstudiengang Innovative Finance (MSc IF 24)
(01.09.2024)
Project Description
Risk Management provides an introduction to concepts and methods for modern financial risk management and to the ideas behind its regulation.
Key topics covered are:
Key topics covered are:
- Introduction to risk management
- Risk measures: volatility, correlations, copulas, value at risk, expected shortfall
- Risk-neutral vs. real-world distributions
- Stress testing
- Market, credit, operational, liquidity, and model risk
- Rating agencies and credit ratings
Teaching Method
- Interactive lectureExercises to be solved individually or in groups between classes
Learning Results
- After successful completion of the course, students willProfessional competencesunderstand the importance and the potential of financial risk management for financial practice.select and apply appropriate risk management techniques in practice.understand financial crises and their relation to (bad) risk management. - Methodological competencesestimate risk measures from financial data using a range of established models.value credit derivativesapply appropriate methods to identify and measure financial risks. - Technological competencesuse R for simple calculations.
Literature
- Hull, J.C. (2023) Risk Management and Financial Institutions, 6th ed., Wiley Finance.
Assessment Methods
Final written exam