Winter Term 24/25

Courses in the winter term 24/25

Tutorial

Financial Risk Management (FRM)

Lecturer:
  • Kateryna Chekriy, M.Sc.
Contact:
Term:
Winter Semester 2023/2024
Time:
Thursday 10-12 am (10:15-11:45)
Room:
R12 R07 A69
Start:
17.10.2024
End:
30.01.2025
Language:
English
Moodle:
Lecture in Moodle
LSF:
Lecture in LSF
Linked Lectures:

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:

Written exam (90 minutes)

Formalities:

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Material:

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