Advanced Risk Management
During the winter semester 2019/2020 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.