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Risk Management



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Course: Risk Management
Study Progamme: B.A. International Business Administration
Modul: FI03
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 Uhr, not at 03.11., 01., 08. and 22.12.2017 and 02.02.2018;
Friday 9:30-17:30 Uhr, only at 2.02.2018;
Saturday 10-18 Uhr, only at 20. and 27.01.2018

Place:
SRH Hochschule Berlin
Ernst-Reuter-Platz 10
10587 Berlin