Advanced Risk Management
Prof. Dr. Andreas Richter, Lu Li
During the winter semester 2015/2016 the Masters level class "Advanced Risk Management" is offered in cooperation with Prof. Glaser and Prof. Elsas. The first part will be offered by the Institute for Risk Management and Insurance and seeks to deepen the understanding of why risk management is beneficial. Starting with categorizing different sources of risk for financial and non-financial firms, important aspects of expected utility theory and its connection to financial models are analyzed. Based on the theory of optimal risk sharing and related concepts, the relevance of risk management will be examined. Review sessions will provide a deeper understanding of some theoretical concepts presented in the lecture. Additionally, exercises and case studies will improve the participants’ skills for analyzing and solving real-world risk management problems.
The second and third part of the course will be offered by the Institute for Capital Markets and Corporate Finance and the Institute for Finance and Banking. Topically, it will deal with specific types of risk faced by financial institutions, focusing on market risk and credit risk. Students will learn about concepts and techniques to model and manage these risks. This includes topics such as modeling volatilities and dependence, value-at-risk estimation and hedging using financial derivatives. Portfolio models of credit risk will also be discussed. In hands-on exercises students will learn how to apply these concepts using MS-Excel.
- Participants: Students from Master of Science in Business Administration
- Language: English
- Credits: 9 ECTS
- 2 SWS (Lecture) and 4 SWS (Tutorial)
- Contract: Lu Li
Schedule (Lecture & Tutorial)
|15.10.2015||12 - 2 pm||Lecture: Introduction and Expected Utility||M 014|
|19.10.2015||4 - 8 pm||Tutorial: Decision Theory||M 110|
|22.10.2015||12 - 2 pm||Tutorial: Decision Theory||M 014|
|26.10.2015||4 - 8 pm||Lecture: The Standard Portfolio Problem
Tutorial: The Standard Portfolio Problem
|29.10.2015||12 - 2 pm||Lecture: Optimal Risk Sharing and Arrow-Lind Theorem||M 014|
|02.11.2015||4 - 8 pm||Tutorial: Optimal Risk Sharing and Arrow-Lind Theorem||M 110|
|05.11.2015||12 - 2 pm||Lecture: Risk Management Motives||M 014|
|09.11.2015||4 - 8 pm||Tutorial: Risk Management Motives||M 110|
- Lecture: Thursday, 12-2 p.m., Room: M 014 (Main Building)
- Tutorial: Monday, 4-8 p.m., Room: M 110 (Main Building)
- Further information can be found in the syllabus.
This course is graded based on a presentation of 3 case studies and a 2-hour written exam.
- The case study problems will be released on December 21, 2015. Students should hand in a presentation of their solutions by Jan. 08, 2016. On January 11, 2016, selected solutions will be presented in class.
- The final written exam will take place in Room A240 of the main building at 16:30, January 25, 2016.