DE / EN

FIN 913 Advanced Quantitative Risk Management

General Information

Lecturer Dr. Markus Huggenberger
Credit points 8 ECTS

Schedule

  • FIN 660, Tuesday, 12:00 - 13:30, O 135, first session February 12th, 2018
  • FIN 913, Wednesday, 10:15 - 12:00, O 148, first session February 13th, 2018
Dr. Markus Huggenberger

Dr. Markus Huggenberger

Contact person Advanced Quantitative Risk Management

For further information please contact Markus Huggenberger

    Course Structure

  • Course Content

    This course includes FIN 660 (4 ECTS), which covers tail risk measures, market and credit risk, risk aggregation as well as portfolio risk decomposition. The additional sessions for FIN 913 (4 ECTS) extend the material on selected topics such as the theoretical properties of modern tail risk measures, flexible parametric and semiparametric tail risk estimators, dynamic risk forecasting as well as backtesting. Furthermore, advanced topics in market and credit risk including credit derivatives will be covered.

  • Learning Outcomes

    Students understand modern tail risk measures and are able to discuss their strengths and weaknesses. They are familiar with advanced techniques for tail risk estimation including time-series methods, extreme-value theory and copulas. Students understand alternatives to the variance-covariance approach for market risk and are familiar with important extensions of basic credit risk models. In addition, they obtain an advanced understanding for the pricing of risky debt and credit derivatives.

  • Prerequisites and Registration

    Recommended: The course requires some knowledge of probability theory and statistics. Furthermore, students should be familiar with the pricing of standard financial instruments including derivatives. 

    See CDSB course catalogue for information on the registration process.

  • Class Material

    Lecture slides and exercise materials will be provided on ILIAS. 

  • Form of Assessment

    Written Exam (90 minutes): 80%, Solving a Case Study: 10%, Class Participation: 10%

    Students who already took FIN 660 during their master studies only participate in the additional sessions (Wednesdays) for FIN 913 (4 ECTS). For them, the duration of the written exam is 45 minutes.

  • Evaluation Results