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Module (6 Credits)

Financial Risk Management

English Name
Financial Risk Management
Responsible
Prof. Dr. Rüdiger Kiesel
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 EaF MasterPflichtbereich 1st-2nd Sem, Compulsory
  • ECMX MasterWahlpflichtbereichME5 Economics 1st-3rd Sem, Elective
  • LA gbF/kbF BK MasterMasterprüfung in der großen beruflichen FachrichtungWahlpflichtbereich BWL, VWL, Recht, StatistikBereich BWL 1st-3rd Sem, Elective
  • LA gbF/kbF BK MasterMasterprüfung in der kleinen beruflichen FachrichtungFinanz- und Rechnungswesen, SteuernWahlpflichtbereich Kleine berufliche Fachrichtung "Finanz- und Rechnungswesen, Steuern" 1st-3rd Sem, Elective
  • MedMan MedGW MasterWahlpflichtbereich IBereich BWL 1st-3rd Sem, Elective
  • MedMan WiWi MasterWahlpflichtbereich IIBereich BWL 1st-3rd Sem, Elective
  • MuU MasterWahlpflichtbereich IIIWahlpflichtbereich III A.: Märkte und Unternehmen aus Unternehmensperspektive 1st-3rd Sem, Elective
  • VWL MasterWahlpflichtbereich II 1st-3rd Sem, Elective
  • WiInf MasterWahlpflichtbereichWahlpflichtbereich II: Informatik, BWL, VWLWahlpflichtmodule der Betriebswirtschaftslehre 1st-3rd Sem, Elective
  • WiMathe MasterVWL-Energie 1st-4th Sem, Elective
Info for current semester
    Elements

    Lecture (3 Credits)

    Lecture Financial Risk Management

    Organisational Unit
    Lehrstuhl für Energiehandel und Finanzdienstleistungen
    Lecturers
    Prof. Dr. Rüdiger Kiesel,
    Prof. Dr. h.c. Gerhard Stahl
    Cycle
    winter semester
    SPW
    2
    Language
    English
    Participants

    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

    Lecture: Lecture Financial Risk Management (WIWI‑C0827)

    Exercise (3 Credits)

    Exercises Financial Risk Management

    Organisational Unit
    Lehrstuhl für Energiehandel und Finanzdienstleistungen
    Lecturer
    Prof. Dr. Rüdiger Kiesel
    Cycle
    winter semester
    SPW
    2
    Language
    English
    Participants

    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

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