Study program:

International Finance (M.Sc.)

Academic level and semester:

Master, 1^st semester

ECTS credits/workload per semester:

4 / 100

Contact hours per week/contact hours per semester:

2 / 25

Type/Teaching method:

Lecture, Students are invited to actively participate in the lecture. Therefore, activating methods are used. In addition, the students are encouraged to work on practical applications using suitable computer programs such as EXCEL and MATLAB.

Frequency:

Winter semester

Lecturer:

Prof. Dr. Anja Blatter

Content:

The Quantitative Risk Management with Matlab course provides a comprehensive introduction to the principles and practices of risk management in finance, emphasizing the use of Matlab for computational tasks. Students will gain hands-on experience in implementing quantitative models and analyzing financial risks using Matlab. The course covers a broad range of topics, including Sources of Financial Risks (Market Risk, Credit Risk, Insurance Risk, Operational Risk), Risk Handling (Risk Management Cycle, Regulation), Risk Measures (Value at Risk, Expected Shortfall, Coherent Measures of Risk, Backtesting), Capital Requirement (Regulation, Standardized Approach, Internal Rating Based Models), Probability of default (External Credit Ratings, Internal Credit Ratings, Merton's model, Concept of Copulas), and Stress testing. By the end of the course, students will be proficient in utilizing Matlab for quantitative risk management, making them valuable assets to any financial institution.

Textbooks:

Lecture notes are provided. Theory, exercises and case studies are included in the lecture notes as well as enough space to fill in derivations and solutions to exercises.Literature: McNeil, A. J., Frey, R. und Embrechts, P.: Quantitative RiskManagement: Concepts,TechniquesandTools, Princeton University Press, 2015.Hull, J.: Risk Management and Financial Institutions, Wiley, 2015

Restrictions:

Assessment:

Oral exam