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Objectives
Course participants are expected to:
- understand the basic concepts of financial risk,
- be familiar with different financial products,
- understand the aims and difficulties of scenario analysis, and
- be able to implement the learned concepts by applying measurement techniques of financial risk.
Target Attendees / Participants
Students of Steinbeis Master of Business Administration
Course Content by Units
Backtesting
Scenario analysis
Simulation techniques
Joint interpretation
Case: Asset Liability Management
Teaching Methods
The course includes:
- introductory note explaining the aim and structure of the course, as well as the used teaching methodology,
- ex cathedra lecturing illustrated by a number of examples and
- case study.
Literature
Aswath Damodaran (2007): Strategic Risk Taking: A Framework for Risk Management, Pearson Prentice Hall.
P. Best (1999): Implementing Value at Risk (Wiley Series in Financial Engineering), Wiley.
Carol Alexander (2009): Market Risk Analysis, Value at Risk Models (Volume IV), Wiley.
David Ardia (2008): Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (Lecture Notes in Economics and Mathematical Systems, Springer.
Greg N. Gregoriou, Marco Micocci, Giovanni Batista Masala (2010): Pension Fund Risk Management: Financial and Actuarial Modeling (Chapman & Hall/Crc Finance Series).
Kyriaki Kosmidou, C. Zopounidis (2004): Goal Programming Techniques for Bank Asset Liability Management (Applied Optimization), Springer.
Marco Corazza, Pizzi Claudio (2010): Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer.
Ngai Hang Chan, Hoi-Ying Wong (2006): Simulation Techniques in Financial Risk Management (Statistics in Practice), Wiley-Interscience.
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