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Module (6 Credits)

Financial Risk Management

Name in diploma supplement
Financial Risk Management
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 120 hours
Duration
The module takes 1 semester(s).
Qualification 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.
Module Exam

Final written exam (60-90 minutes).

Die Prüfung in diesem Modul darf nicht abgelegt werden, wenn "Risikomanagement I" bereits bestanden ist.

Usage in different degree programs
  • BWL EaFPflichtbereich1.-2. Sem, Compulsory
  • ECMXWahlpflichtbereichME5 Economics1.-3. Sem, Elective
  • LA gbF/kbF BKMasterprüfung in der großen beruflichen FachrichtungWahlpflichtbereich BWL, VWL, Recht, StatistikBereich BWL1.-3. Sem, Elective
  • LA gbF/kbF BKMasterprüfung in der kleinen beruflichen FachrichtungFinanz- und Rechnungswesen, SteuernWahlpflichtbereich Kleine berufliche Fachrichtung "Finanz- und Rechnungswesen, Steuern"1.-3. Sem, Elective
  • MedMan MedGWWahlpflichtbereich IBereich BWL1.-3. Sem, Elective
  • MedMan WiWiWahlpflichtbereich IIBereich BWL1.-3. Sem, Elective
  • MuUWahlpflichtbereich IIIWahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive1.-3. Sem, Elective
  • VWLWahlpflichtbereich II1.-3. Sem, Elective
  • WiInfWahlpflichtbereichWahlpflichtbereich II: Informatik, BWL, VWLWahlpflichtmodule der Betriebswirtschaftslehre1.-3. Sem, Elective
  • WiMatheVWL-Energie1.-4. Sem, Elective
Elements
Name in diploma supplement
Lecture Financial Risk Management
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
no limit
Preliminary knowledge

Good knowlede in the field of statistics and econometrics

Contents
  • Regulation: Basel II/III, Sovency II
  • Risk Categories
  • Risk Measurements
  • Valuation of Options, "Greeks"
  • Hedging Strategies
Literature
  • Bingham, N.H. & Kiesel, R.: Risk Neutral Valuation, 2nd edition, Springer, 2004.
  • Hull, J.: Risikomanagement, 2. Auflage, Pearson Studium, 2011.
  • Jorion, P.: Value-at-Risk, 3rd edition, McGraw-Hill, 2009.
  • Hull, J.: Optionen, Futures und andere Derivate, 7. Auflage, Pearson Studium, 2009
Teaching concept

Presentation, Discussion, Case Studies

Participants
Lecture: Financial Risk Management (WIWI‑C0827)
Name in diploma supplement
Exercises Financial Risk Management
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
no limit
Preliminary knowledge

Good knowlede in the field of statistics and econometrics

Contents
  • Regulation: Basel II/III, Sovency II
  • Risk Categories
  • Risk Measurements
  • Valuation of Options, "Greeks"
  • Hedging Strategies
Literature

See lecture.

Teaching concept

Presentation, Discussion, Case Studies

Participants
Exercise: Financial Risk Management (WIWI‑C0829)
Module: Financial Risk Management (WIWI‑M0676)