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:

Login into your ZIM account to access the Moodle key under "Material" below.

Material:

• frm_key_2026-27.pdf (160 KB, Last change 5th Oct 2026)