Financial Econometrics: Risk Management
Lectures (S. Mittnik) and exercises (C. Berninger)
Fridays, 10:00 - 14:00 c.t., Geschw.-Scholl-Pl. 1 (E) - E 006
Lectures and exercises alternating (planned schedule below). First lecture will be Friday, 26.04.2019.
Both, lectures and exercises will be held in English.
Attention: On July 19 we will welcome Dr. Groll and Dr. Kurz for another guest lecture (details see below). Please note that the content of the guest lecture is also relevant to the exam.
Topics
The course revolves around basic concepts of the most general types of financial risks:
- market risk
- credit risk
- operational risk
Intended audience: Advanced bachelor and master students of statistics, mathematics, informatics, economics and business administration.
Prerequisites: Solid mathematical foundations (analysis and linear algebra), basic knowledge in econometrics and statistics.
Certification: Exam at the end of the term, 6 ECTS credits.
Course information:
All relevant material and information regarding the course can be accessed through Moodle.
The password required to enroll into the Moodle course will be announced in lectures and exercises.
Planned schedule: (changes possible!)
|
26.04.2019 |
Guest-Lecture: Christoph Schwager Chairman Institute for Effective Undertaking Steering, Partner RiskNET, prev. CRO Airbus Group Topic: What is Risk Management - Einführungsvorlesung Risikomanagement |
| 03.05.2019 | Lecture (S. Mittnik) |
| 10.05.2019 | Exercise (C. Berninger) |
| 17.05.2019 | Exercise (C. Berninger) |
| 07.06.2019 | Exercise (C. Berninger) |
| 14.06.2019 | Lecture (S. Mittnik) |
| 28.06.2019 | Lecture (S. Mittnik) |
| 05.07.2019 | Exercise (C. Berninger), Geschw. -Scholl-Pl. 1, Room D209 ! |
| 12.07.2019 | Lecture (S. Mittnik) |
| 19.07.2019 | Guest-Lecture:Dr. Christian Groll and Dr. Malte Kurz
Quantitative Investment Strategy, Scalable Capital GmbH, Munich Topic: From Academia to Industry: Systematic Trading Strategies put to Practice |
| 26.07.2019 | Exam |
Exam:
Date: 26.07.2019
Time: 10:00 - 12:00
Location: M018 (Main Building)
Duration: 120 minutes
Retake Exam:
Date: 10.10.2019
Time: 10:00 - 12:00
Location: S004 (Schellingstr. 3)
Duration: 120 minutes
Zulässige Hilfsmittel: ein nicht programmierbarer Taschenrechner, und ein beidseitig und handschriftlich beschriebenes DIN A4 Blatt. Das Formelblatt darf dabei ausschließlich Formeln beinhalten - das Abschreiben ganzer Übungsaufgaben und Herleitungen ist nicht erlaubt, und wird als Unterschleif gewertet. Desweiteren muss die Formelsammlung in einer Klarsicht Schutzfolie sein, und zusammen mit der Klausur abgegeben werden.
Zur Identifikation bitte Personalausweis und Studentenausweis mitnehmen!
Permitted writing aids: a not programable calculator, as well as a handwritten DIN A4 crib sheet with formulas on both sides. Your crib sheet may contain only formulas - transcribing complete exercises and derivations is not allowed, and will be classified as attempted fraud. Furthermore, the crib sheet has to be kept in a transparent plastic folder (in German: Klarsichthülle), and needs to be handed in together with the exam.
Please bring ID card and student card for identification!
Literature
McNeil, A. J., Frey, R., Embrechts, P.: Quantitative Risk Management. Princeton University Press, 2005.
Handouts