4108093: C15 Risk Management and Financial Derivatives

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Semester:SS 16
Type:Module
Language:English
ECTS-Credits:9.0
Scheduled in semester:2
Semester Hours per Week / Contact Hours:77.0 L / 58.0 h
Self-directed study time:212.0 h

Module coordination/Lecturers

Curricula

Master's degree programme in Finance (01.09.2015)

Description

Financial Risk Management:

  • Identifying, Measuring, and Management of Financial Risks
  • Risk Categories and Associated Models: Market, Credit, Operational and Liqudity Risks
  • Rating Agencies and Credit Ratings

  • Derivatives Markets and Instruments: Forwards, Futures, Options, Swaps, Exotics, Credit Derivatives
  • Pricing of Equity, Fixed Income, Currency, Commodity, and Credit Derivatives
  • Hedging Using Derivatives
  • Financial Engineering

Lecture Goals

After completion of the module, students realize both the importance and the potential of financial risk management. They relate financial risk management to other areas of finance and within financial institutions. In particular, they know about the risks associated with financial derivatives as well as their potential for applications in risk management and financial engineering.

Learning Outcomes

  • Understand fundamentals in risk management
  • Identify, measure and manage financial risks
  • Select and apply appropriate risk management techniques
  • Know how derivatives and derivatives markets work
  • Price financial derivatives
  • Use Greek variables in risk management and financial engineering
  • Devise and/or analyze derivatives strategies for speculation, hedging and arbitrage
  • Combine basic instruments to achieve desired payoff structures/decompose payoff
structures into their basic components

Qualifications

    • Understand risk management as an important function in financial institutions
    • Identify, measure and manage financial risks
    • Select and apply appropriate risk management techniques
    • Know how derivatives and derivatives markets work
    • Use derivatives to achieve desired payoff profiles/risk positions
    • Understand and apply fundamental valuation concepts: No-arbitrage pricing vs. expectation pricing
    • Analyze pricing models and decide on their suitability for a given situation
    • Combine basic instruments to achieve desired payoff structures/decompose payoff
    structures into their basic components
    • Use Greek variables in risk management and financial engineering

Lectures Method

Interactive lectures with exercises

Admission Requirements

Successful completion of the module "Financial Economics and Markets"

Literature

  • Hull, J. C. (2011). Options, futures and other derivatives (8th global ed.). Harlow: Pearson.
  • Hull, J. C. (2015). Risk management and financial institutions (4th ed.). Hoboken, NJ: Wiley.
  • Blunden, T., & Thirlwell, J. (2013). Mastering operational risk. A practical guide to understanding operational risk and how to manage it (2nd ed.). Harlow: Pearson.
  • Caouette, J., Altman, E., Narayanan, P., & Nimmo, R. (2011). Managing credit risk (2nd ed.). Hoboken, NJ: John Wiley & Sons. [Chapter 6]
  • Girling, P.X. (2013). Operational risk management: A complete guide to a successful operational risk framework. Hoboken, NJ: John Wiley & Sons.

Materials

Slides will be available via moodle.

Exam Modalities

See lectures within the module.