English Term

Advanced Risk Management



Compulsory Course/Required Elective

Compulsory Course

Type of Course




Offered in

Winter Term



Credit Hours


Course Assessment

•50% written exam
•25% scientific paper from semesterproject
•25% presentation

Duration of the Exam

120 minutes


Decimal Grade

Admitted Additives
Pocket calculator
Admission Requirements
Module M1 is required as a prerequisite


  • Based upon the knowledge of Module M1 (Financial Market Decisions) about stock market,currencies and interest rates, students obtain a more detailed understanding of mathematical models for the behavior of standard financial derivatives (futures, options,
  • Modern approaches to model financial risk are derived and discussed
  • Students apply the acquired knowledge to empirically test the models in the faculty’s Finance & Research Lab.
  • They learn how to analyze structured financial products
  • They understand how financial institutions (banks, insurance companies, funds) manage financial risk and critically reflect the shortcomings of the models discussed in class.




  • Introduction to financial institutions (banks, insurance companies and pension plans, mutual
    funds and hedge funds)
  • Financial instruments (including non-traditional derivatives, exotic options and structured
  • How traders manage their exposure
  • Market Value at Risk
  • Volatility
  • Correlation and Copulas
  • Interest Rate Risk (including duration and convexity)
  • Credit Risk and Credit VaR
  • Asset Backed Securities and Credit Default Options
  • Overview: Operational Risk and Liquidity Risk
  • Critical discussion: Model Risk and mistakes to avoid

Teaching and Learning Methods

  • Lecture including small case studies
  • Questions for discussion/practical problems (as homework assignments)
  • “Semester project” organized in small groups

Recommended readings

  • Hull, Risk Management and Financial Institutions, 3rd ed., Wiley 2012 (required reading)
  • Hull, Options, Futures and Other Derivatives, 8th ed., Prentice Hall International 2011
  • Recent scientific papers and news reports to be provided in class

Workload and Breakdown of Credits


4 ECTS x 30 hours = 120 hours,  combined out of the following:

  • Course attendance: 6 weeks* 3 hours = 18 hours
  • Preparation / homework / self-study : 6 weeks* 3 hours = 18 hours
  • Time for exercises and group work: 12 weeks* 1.5 hours = 18 hours
  • Semester project / presentation:
    • 40 hours for scientific work
    • 10 hours for presentations
  • Exam preparation: 16 hours
  • Exam time: 120 minutes

Prerequirement for the exam
•Homework presentation (at least once)
•All students have to work on a semester project. As a prerequisite for the exam, studentshave to hand in a 20 page scientific paper and present their topic in a 20 minutepresentation plus 10 minutes discussion.

Exam requirements
• Pocket calculator
• No other material allowed in the exam(„closed book“)
• Semester project and final exam arecombined into one grade.
   They don’thave to be passed separately.

Weighting in examination
Final grade:
• 50% written exam
• 25% scientific paper from semesterproject
• 25% presentation