Advanced Risk Management
Prof. Dr. Andreas Richter
During the winter semester 2016/2017 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)
- Contact: Lu Li
Time and Location
- Monday 4 - 8 p.m. Room D209
- Thursday 12 - 2 p.m. Room M014
Schedule (Lecture & Tutorial)
|Mon, Oct 24||4 - 8 pm||Lecture: Introduction and Expected Utility||D 209|
|Thu, Oct 27||12 - 2 pm||Tutorial: Expected Utility||M 014|
|Mon, Oct 31||4 - 8 pm||Lecture: Optimal Risk Sharing and Arrow-Lind Theorem||D 209|
|Thu, Nov 3||12 - 2 pm||Lecture: Risk Management Motives
|Mon, Nov 7||4 - 8 pm||Tutorial: Expected Utility
The Standard Portfolio Problem
|Thu, Nov 10||12 - 2 pm||Tutorial: The Standard Portfolio Problem/
Optimal Risk Sharing and Arrow-Lind Theorem
|Mon, Nov 14||4 - 8 pm||Tutorial: Optimal Risk Sharing and Arrow-Lind Theorem/Risk Management Motives||D 209|
- Further information can be found in the syllabus.
- This course is graded based on case study presentations and a 2-hour written exam. After each of the three parts, case study problems will be solved in groups. Selected students will present their solutions in class. Further details will be announced in class during the course.
- To take the exam, registration via the LSF is necessary. The Exam will take place February 21st, 16:30 - 18:30 in the room M218 (HGB).
- Registration period for the exam: 12.12.2016-11.01.2017 (If you do not register for the exam you will face the following consequences.)
- You have the opportunity to review your Advanced Risk Management exam on March 15th, 2017, 08:00 to 09:00 o'clock. A registration is required.
- For further information about the registration, please click here.