European Master and Certification Program
in Risk Engineering and Management

XIII-F-R50: RMS
Risk Management Strategies

Course code: 175572
Language of instruction: English
Lecturers: Prof. Dr. Aleksandar S. Jovanovic (Steinbeis Advanced Risk Technologies GmbH), Prof. Dr. Dr. h.c. Dirk Linowski (Steinbeis University Berlin), Prof. Dr.-Ing. Karl Maile (Steinbeis Advanved Risk Technologies GmbH)
Assessment: Defined in the module

Short description

This course will focuse on the basic concepts, methods, products and measurement techniques of financial risk. The presentation of scenario analysis, simulation techniques as well as the Value-at-Risk concept and caluclation will show the specificity of the finanical field and the related risk management strategies.

Objectives

Course participants are expected to:

-understand the basic concepts of financial risk
-be familiar with the different financial products
-understand the aims and difficulties of scenario analysis
-be able to implement the learned concepts by applying measurement techniques of financial risk

 

Target Attendees / Participants

This module prepares current master of engineering students who will be accountable for ensuring that risk is effectively managed within the organization as a whole or within a specific area, project or activity. This is also for students who will be dealing with evaluation of an organization's effectiveness in managing risk.

Course Content by Units

Value-at-Risk

CVaR

Backtesting

Scenario Analysis

Simulation techniques

Joint Interpretation

Case: Asset Liability Management


Teaching Methods

The course includes:

  • introductory note explaining aim and structure of the course, used teaching methodology as well
  • ex cathedra lecturing illustrated by number of examples
  • case study

Literature

-Aswath Damodaran (2007). Strategic Risk Taking: A Framework for Risk Management, Pearson Prentice Hall
-P. Best (1999). Implementing Value at Risk (Wiley Series in Financial Engineering), Wiley
-Carol Alexander (2009). Market Risk Analysis, Value at Risk Models (Volume IV), Wiley
-David Ardia (2008). Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (Lecture Notes in Economics and Mathematical Systems, Springer
-Greg N. Gregoriou, Marco Micocci, Giovanni Batista Masala (2010). Pension Fund Risk Management: Financial and Actuarial Modeling (Chapman & Hall/Crc  Finance Series)
-Kyriaki Kosmidou, C. Zopounidis (2004). Goal Programming Techniques for Bank Asset Liability Management (Applied Optimization), Springer
-Marco Corazza, Pizzi Claudio (2010). Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer
-Ngai Hang Chan, Hoi-Ying Wong (2006). Simulation Techniques in Financial Risk Management (Statistics in Practice), Wiley-Interscience



For more information about the European Master and Certification Program in Risk Engineering and Management in general, go the Homepage.
For more information about the European Master Program in Risk Engineering and Management in general, go the Master Study page.
To see more courses in the curriculum, go to The curriculum page, or by date and topic go to the Calendar of Courses page.
Contact: via email sti889@risk-technologies.com or phone +49 711 1839 781 or +49 711 1839 647
(Course profile ID: XIII-F-R50:, generated on November 19, 2018)