Zurück

Risk Management



Veranstaltung bereits belegt
(Bitte wende Dich an contact@customize-your-studies.de für einen Nachrückplatz)

Course: Risk Management
Study Progamme: B.A. International Business Administration
Modul: M-2403
Lecturer: Prof. Glasberg
Total available places: 5
Credit Points: 5 ECTS
Prerequisites for attending: English C1

Description:
• Introduction: review of modern portfolio theory, EMH
and behavioural finance, key concepts in probability
and statistics
• Monte Carlo simulation and VAR validation and ex-
tremes: Monte Carlo simulations, GARCH volatility
models, back testing, extreme value theory
 
Primary Themes
• Liquidity risk and leverage: liquidity risk, impact of lev-
erage, hedge funds and their risk measures
• Credit risk: systems addressing credit risk, credit met-
rics, credit rating systems, CDOs, CMOs and other
structured finance
• Operational risk: managing operational risk, calculat-
ing OP-Risk VAR  
• Regulatory environment  
 
Secondary Themes
• Value at risk: risk measures for various asset classes,
historical VAR, parametric VAR, time-scaling, VAR
tools  
• Multifactor models  

Time:
Friday 9:30 - 13:30 (16.10.17 - 02.02.18) - no lesson on Nov. 3rd, Dec. 1st, 8th and 22nd 2017
AND Saturday 10:00-18:00 only on Nov. 18th (S.007-009) and Jan. 20th 2018 (S.109, S.110 and S.111)

Place:
SRH Hochschule Berlin
Ernst-Reuter-Platz 10
10587 Berlin
Raum H.205