Wintersemester 24/25
Financial Risk Management (FRM)
At the end of this course, Students will be able to demonstrate that they can:
- Understand the core principles of quantitative risk management
- Understand mathematical and statistical techniques used in risk management
- Use Monte-Carlo methods for risk measure calculations
- Apply the theoretical principles discussed in class to real-world problems
- Apply the knowledge gained to current problems in academic research
- Recapitulate topics discussed in class
- Discuss issues in the field of risk and bank management both in German and English
- Communicate and debate topics of the lecture in a structured and professional way
- Risk Categories: Market Risk, Credit Risk, Liquidity Risk, Operational Risk, Model Risk, Counterparty Credit Risk
- Regulation: Basel II/III, Solvency II
- Risk Measures: Value at Risk, Expected Shortfall, Coherent Risk Measures
- Option Pricing (Binomial, Black-Scholes-Merton), Greeks, Hedging Strategies
- Monte Carlo Methods
- Bingham, N.H. & Kiesel, R. Risk-Neutral Valuation. Springer, 2004.
- Hull, J. Risk Management and Financial Institutions. John Wiley & Sons, 2015.
- Jorion, P. Value-at-Risk. McGraw-Hill, 2006.
- Hull, J. Options, Futures, and Other Derivatives. Pearson Education, 2014.
- McNeil, A., Frey, R., Embrechts, P. Quantitative Risk Management. Princeton University Press, 2015.
Written exam (90 minutes)
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