Einzelansicht eines Moduls

Modul (6 Credits)

Structuring and Valuation

Name im Diploma Supplement
Structuring and Valuation
Verantwortlich
Voraus­setzungen
Siehe Prüfungsordnung.
Workload
180 Stunden studentischer Workload gesamt, davon:
  • Präsenzzeit: 60 Stunden
  • Vorbereitung, Nachbereitung: 60 Stunden
  • Prüfungsvorbereitung: 60 Stunden
Dauer
Das Modul erstreckt sich über 1 Semester.
Qualifikations­ziele

Students

  • analyze current problems in the field of energy trading.
  • understand complex quantitative techniques and apply them to analyze the structures of financial contracts and physical assets frequently used in energy markets.
  • are able to evaluate the risk attended by such contracts and to explain it to non-experts.
  • are able to critically discuss and interpret model results as well as to extend models.
  • are able to implement the introduced models in a common programming language (e.g. Python)
Praxisrelevanz

The models discussed and the quantitative techniques used are common standard and frequently used in financial institutions and the energy industry.

Prüfungs­modalitäten

Written exam (generally 60-90 minutes).

Verwendung in Studiengängen
  • BWL EaFPflichtbereich2.-3. FS, Pflicht
  • ECMXWahlpflichtbereichME5 Economics1.-3. FS, Wahlpflicht
  • EnergyScFortgeschrittene Energiewissenschaft1. FS, Wahlpflicht
  • VWLWahlpflichtbereich II1.-3. FS, Wahlpflicht
  • WiMatheVWL-Energie1.-4. FS, Wahlpflicht
Bestandteile
Name im Diploma Supplement
Lecture Structuring and Valuation
Anbieter
Lehrperson
SWS
2
Sprache
englisch
Turnus
Sommersemester
maximale Hörerschaft
unbeschränkt
empfohlenes Vorwissen

Good knowledge in statistics and econometrics.

Detailed knowledge of energy markets and frequently used quantitative models.

Abstract

Principles of risk management in energy markets (risk positions, risk measures), analysis of transactions in energy markets (volatilities, correlations), structured products, principals of emissions trading, credit risk.

Lehrinhalte
  1. Spot and forwad price modeling in energy markets
  2. Valuation of derivatives
  3. Risk positions and risk measures
  4. Modeling volatility and correlation in cross-commodity positions
  5. Analysis and discussion of emission markets
Literaturangaben
  • Burger, M.,  Graeber, B.  and Schindlmayr, G.: Managing Energy Risk: An Integrated View on Power and Other Energy Markets,  JohnWiley & Sons, 2007.
  • Kaminiski, V.: Energy Markets, RISK books, 2013 
  • Eydeland, A. and Wolyniec, K.: Energy and Power Risk Management, JohnWiley & Sons, 2003.
  • Geman, H.: Commodities and Commodity Derivatives, JohnWiley&Sons, 2005.
  • James, T. and Fusaro, P.C.: Energy and Emissions Markets , JohnWiley & Sons, 2006.
didaktisches Konzept

Presentation, discussion

Hörerschaft
Vorlesung: Structuring and Valuation (WIWI‑C0819)
Name im Diploma Supplement
Exercises Structuring and Valuation
Anbieter
Lehrperson
SWS
2
Sprache
englisch
Turnus
Sommersemester
maximale Hörerschaft
unbeschränkt
empfohlenes Vorwissen

Good knowledge in statistics and econometrics.

Detailed knowledge of energy markets and frequently used quantitative models.

Abstract

See lecture.

Lehrinhalte

Recap, discuss, apply and deepen topics covered during the lecture with the help of scientific papers, practical applications and training exercises. Improve theoretical knowledge as well as applied research skills.

Literaturangaben

See lecture.

didaktisches Konzept

Presentation, discussion

Hörerschaft
Übung: Structuring and Valuation (WIWI‑C0820)
Modul: Structuring and Valuation (WIWI‑M0671)