Risk Management
Semester: winter / summer
ECTS credits: 3
Lecture hours per week (SWS): 3
Lecturer: Prof. Dr. Ulreich
Course Language: English / German
Prerequisites:
Undergraduate level: financial mathematics, probability and statistics, energy economics, fundamentals of energy commercialization
Qualification objectives:
A risk manager must be able to identify any number of risk-related issues and be able to deal with them effectively. Participants are expected to become familiar with a broad range of risk management concepts and techniques and to acquire the ability to develop appropriate risk management tools and solutions for the real world.
Course contents:
- Risk management fundamentals
- Random variables and important distributions
- Risk measurement, value at risk (VaR)
- Back testing VaR
- Extensions of VaR: Stress tests, expected shortfall, liquidity adjustments
- Estimation of market parameters
- Volatility forecasts
- Stochastic modeling of risk factors
- Simulation
- Energy risk management (buy-side/sell-side)
- Credit and operational risk
Teaching format (e.g. online/in person lecture/Seminar/Lab etc.): In person lecture
Examination type: Written exam, 60 minutes
