Winter Semester 17/18
Financial Risk Management (FRM)
Students
- 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.
- Risk Categories: Market Risk, Credit Risk, Liquidity Risk, Model Risk, Counterparty Credit Risk
- Regulation: Basel II/III, Solvency II
- Risk Measurements: Value at Risk, Expected Shortfall, Coherent Risk Measures
- Option Pricing, 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.