434251 SE Risk Management and Derivatives
winter semester 2020/2021 | Last update: 28.10.2020 | Place course on memo listThe course specializes in risk management issues, in particular as applied to financial institutions. The seminar's objective is to build up sound knowledge about how to identify, measure and manage various risk categories. The course is sub-divided into two compontents: the first part conveys the basics of scientific work using selected topics of risk management as examples, while the second part deals with the application of methods of risk management by means of computer modeling based on real financial market data.
Selected chapters from Ruppert & Matteson (2015) and Daníelsson (2011), computational model building.
Scientific methods, statistical analysis and programming in R, discussion.
Essay, Assignments.
- Daníelsson, Jón (2011): Financial risk forecasting: the theory and practice of forecasting market risk, with implementation in R and Matlab. Wiley. ISBN: 9780470669433.
- Ruppert, David and David S. Matteson (2015): Statistics and data analysis for financial engineering. 2nd ed. Springer. ISBN: 9781493926138.
Further literature will be communicated in the lectures.
Admission requirement: Positive grading of SBWL "Financial Institutions, Financial Innovations and Fintechs" or SBWL "Financial Markets, Asset Management and Valuation".
Compulsory attendance at the first session! Attendance check.
If the number of participants allows it, the course will take place in usual presence mode. Otherwise, the course will take place as an eLecture (100% virtual teaching).
Group 0
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Date | Time | Location | ||
Mon 2020-10-05
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17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2020-10-12
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17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2020-10-19
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17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2020-11-09
|
17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2020-11-16
|
17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2020-11-23
|
17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2020-11-30
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17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2020-12-07
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17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2020-12-14
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17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2021-01-11
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17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2021-01-18
|
17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2021-01-25
|
17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free | |
Mon 2021-02-01
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17.00 - 18.45 | SR 19 (Sowi) SR 19 (Sowi) | Barrier-free |