Institut für Risikomanagement und Versicherung
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Advanced Risk Management

Prof. Dr. Andreas Richter, Prof. Dr. Richard Peter

Course Description & Main Objectives

During the winter semester 2014/2015 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.

Organizational Issues

Participants

  • Students from Master of Science in Business Administration

Language

  • English

Schedule

  • Lecture: Thursday, 12-2 p.m., Room: M 110
  • Tutorial: Monday, 4-8 p.m., Room: A 125
  • Further information can be found in the Syllabus.

Credits

  • 9 ECTS
  • 2 SWS (Lecture) und 4 SWS (Tutorial)

Assignment

  • You can work in groups of up to three students. There will only be a single grade for each assignment.
  • To register your group. please send an email to Prof. Dr. Richard Peter with full name, matriculation number, and email address of each group member.
  • Please register no later than October 23. If you do not know anybody else in class, you can register as single person and we get ou in touch with others who have not found assignment partners yet.
  • The assignment will be available online on October 27.
  • Solutions need to be handed in no later than November 3.

Exam

  • Date: Thursday, January 29th, 2015, 12.30-2.30 p.m.; Theresienstr. 39, B052.
  • Exam registration via LSF: 08.12.2014 - 09.01.2015
  • Students are graded on the basis of two home assignments and an exam. One third of the grade will be determined based on two home assignments during the semester and the other two thirds consist of a two-hour written exam at the end of the course.