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| Semester | spring semester 2020 |
| Course frequency | Every spring sem. |
| Lecturers | Ola Mahmoud (ola.mahmoud@unibas.ch, Assessor) |
| Content | Firm exposure to business and market is a direct result of previous capital financial investments. This course is an introduction to quantitative risk management in corporate finance. The course introduces methods from mathematical finance, probability and statistics that can be used to model corporate financial risks. Topics addressed include loss distributions, risk measures, extreme value theory, copulas and dependence structures, portfolio allocation and diversification. Content: 1. Basic concepts in risk management 2. Empirical properties of financial data 3. Financial time series 4. Extreme value theory 5. Copulas and dependence 6. Market risk 7. Theory of risk measures 8. Operational risk 8. Credit risk 10. Aggregate risk and diversification |
| Learning objectives | Students will understand basic principles of quantitative risk management, including loss distributions, risk measures, empirical properties of financial data, extreme value theory, multivariate models, copulas and dependence structures as well as operational risk. |
| Bibliography | -- Lecture slides posted online Book: A.J. McNeil, R. Frey and P. Embrechts (2015). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press (Revised Edition) (For this course the first edition of 2005 also suffices). |
| Admission requirements | Either "Microeconomics and Psychology of Decision Making" or "Macroeconomics and Finance". Moreover, a certain mathematical sophistication will be necessary. Familiarity with basic statistics and probability theory will be assumed. |
| Course application | Course registration: please enrol in MOnA; Registration = Enrolment to the exam. A deregistration is possible by email to Studiendekanat-wwz@unibas.ch until 3 May 2020, 8 pm. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Interval | Weekday | Time | Room |
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No dates available. Please contact the lecturer.
| Modules |
Specialization Module: Finance, Controlling and Banking (Master's Studies: Business and Economics) |
| Assessment format | end-of-semester examination |
| Assessment details | A written examination accounting for 100% of the course grade. Take home exam. |
| Assessment registration/deregistration | Registration: course registration |
| Repeat examination | no repeat examination |
| Scale | 1-6 0,1 |
| Repeated registration | as often as necessary |
| Responsible faculty | Faculty of Business and Economics , studiendekanat-wwz@unibas.ch |
| Offered by | Faculty of Business and Economics |