Risk Management

Course content

The course introduces risk management, in particular risk measurement and the use of derivative financial instruments for the management of market risks.

The core contents include:
[1] Introduction to risk management
[2] Risk Management Process: Identification, Measurement, Control, Reporting
[3] Risk types
[4] Risk measurement: qualitative, quantitative (sensitivity measures, risk measures, especially value at risk and expected shortfall)
[5] Risk control: control of market risks (hedging with options, hedging of currency and commodity price risks)
[6] Risk reporting

During the course, the digital skills of the participants will be promoted through the application of the learned content in state of the art software (Excel, R, Python, etc).

Learning outcomes

After completing the module Fundamentals of Risk Management & Financial Engineering, students will be familiar with derivative financial instruments, understand their functionality, their application as a hedging instrument, and are able to develop hedging strategies and financial engineering products. Moreover, the students know the basics of risk management, the risk management process, basic concepts of quantitative risk measurement and are able to apply them.

Recommended or required reading and other learning resources / tools

Literature Hull: Optionen, Futures & andere Derivate;
Hull: Risikomanagement;
Wüst: Risikomanagement;
Jorion: Financial Risk Manager Handbook, Wiley Finance
Allen, Boudoukh, Saunders: Understanding Market, Credit, and Operational Risk, Blackwell Publishing;
Brealey, Myers: Principles of Corporate Finance, McGraw Hill;
Glaserman: Monte Carlo Methods in Financial Engineering, Springer;

Mode of delivery

ILV

Prerequisites and co-requisites

Quantitative fundamentals, financial, banking and insurance products, investment management & investment analysis

Assessment methods and criteria

Final examination including continuous assessment