Duration: 1 Semester of which L/S/LW: 2/0/2 Language: English

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1 Module description: Risk Management Degree programme: European Management Responsible for the module: No.: MA Degree: Master of Arts Prof. Dr. Tilo Wendler Semester: 3 Hours per week per semester: 4 Form of course: Duration: 1 Semester of which L/S/LW: 2/0/2 Language: CP according to ECTS: 5 As of: Optional subject English Recommended prior knowledge: Structure of financial market and banking system in Europe and other international regions, elementary mathematical calculations, statistics, probability theory Recognition of external relevant qualifications/experience: To be decided individually. Workload distribution: Hours: In class 60 Pre- and post-course work: 78 Project work: 10 Examinations: 2 Total 150 Teaching and learning objectives Subject specific competences Knowledge Learning outcomes Students will have knowledge of: systematic of risk management, risk factors, mapping and different measures, Weight in % Relation to content: Fbl_3.3.3_01_00 Revisionsdatum: Seite 1 von 5

2 models of financial time series, methods and simulation techniques to determine risk, procedures for determining the impact of different risks, the connections to other business relevant and critical processes. Skills Students will be able to explain and use the most important procedures to identify and to measure risks in business, analyze and simulate the future behaviour/values of time series with computers, optimize portfolios with builtin methods of computer programs, explain the widely used methods, analyse practical examples and can adapt the procedures for other different scenarios. Fbl_3.3.3_01_00 Revisionsdatum: Seite 2 von 5

3 Personal Social competences competence Ability to criticize: Students can discuss problems with respect to the opinion of other students. Conflict management: Students can deal with the different opinions of other people and can bring them together, so a solution for the challenges can be created. Teamwork: Students can work in teams and analyse and solve different and as well as difficult situations. Autonomy Students are able to organize the work on difficult examples and structure their work for themselves. Content: Nr. Description 1 Introduction to Risk Management Objectives Risk factors and risk mapping Risk management and regulation Reviewing/examining the factors of financial crises 2 Practical risk management in firms and banks Types of business risks From value to risk to stress testing a system perspective Asset-Liability management 3 Financial Time Series Review of statistical measures and methods Components of time series and their extraction Forecasting methods Time series models and simulation techniques (Bootstrap and Jackknife) 4 Risk Modeling Fbl_3.3.3_01_00 Revisionsdatum: Seite 3 von 5

4 Advanced risk measures Modeling extreme events (Extreme Value Theory) Monte Carlo methods and techniques Risk measures and Value-at-Risk Portfolio theory and optimization techniques 5 Operational Risk Analyzing inadequate or failed internal processes, people and systems Modeling and controlling 6 Summarization of Risk Management techniques Systematization of qualitative and quantitative methods 7 Advantages of different methods Examination format: Presentation of teamwork results (30 %) Written examination at the end of the course (70 %) Teaching and studying format: Contact time: Lecture and seminar teaching, team work Online: Self- study: Other: elearning-system Solving prepared test using the computer Software e.g. Excel will be used, usage of the own laptop should be helpful Fbl_3.3.3_01_00 Revisionsdatum: Seite 4 von 5

5 Literature: Recommended reading: Hubbert, Simon: Essential Mathematics for Market Risk Management, Wiley Finance Flavell: Bank Risk Management, Wiley Finance Series Madura, Jeff: Financial Institutions and Markets, South- Western Crouhy: The Essentials of Risk Management: The Definitive Guide for the Non-risk Professional, McGraw-Hill Compulsory reading: Alexander, Carol: Value at Risk Models, Wiley Sydsaeter: Essential Mathematics for Market Risk Management, Financial Times Prentice Hall Current scientific papers supplied by the lecturer. Key L = Lecture S = Seminar LW = Laboratory Work Fbl_3.3.3_01_00 Revisionsdatum: Seite 5 von 5