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Risikomanagement - Riskmanagement

Betreuung durch:

(1) Different Approaches to Measure an Assets Risk – Value at Risk Verschiedene Ansätze zur Risikomessung eines Vermögensgegenstand (Bachelor/Master - Topic)
  • mathematical definition of the VaR
  • parametric estimation of the VaR
  • nonparametric estimation of the VaR
Ruppert, D. (2004). Statistics and finance. New York. Springer.
Holton, G. (2003). Value-at-risk. Academic Press. Amsterdam.

(2) The Capital Asset Pricing Model – Application and new Developments Das CAPM – Anwendung und neue Entwicklungen (Bachelor/Master - Topic)
  • derivation of the capital market line (CML)
  • derivation of the security market line (SML)
  • linear regression (assumptions and testing problems)
Ruppert, D. (2004). Statistics and finance. New York. Springer.
Copeland, T. E., Shastri, K. and Weston, J. F. (2005). Financial theory and corporate policy. Pearson Addison-Wesley.

(3) Analysis of High Frequency Financial Data – Realized Volatility, Volatility Clustering, Applications Analyse hochfrequenter Finanzdaten (Master - Topic)
  • stochastic volatility models
  • realized volatility models
  • autoregressive fractionally integrated moving average (ARFIMA) models
Härdle, W., Hautsch, N. and Pigorsch, U. (2008). Measuring and modeling risk using high-frequency data. Discussion Paper.

(4) RiskMetrics and Application – Expected Shortfall, Coherent Measures - RiskMetrics und deren Anwendung (Master - Topic)
  • financial price changes and returns
  • covariance (weak) stationarity of time series
  • estimation and forecast of the RiskMetrics model
Finger, C., Howard, S., Longerstaey, J. and Zangari, P. (1996). RiskMetrics. Technical Document. J.P.Morgan/Reuters.

(5) Modeling and Evaluation of CreditMetrics - Modellierung und Evaluierung von CreditMetrics (Master - Topic)
  • difference of credit returns and market returns
  • computation of the probability of credit rating migration (transition matrix)
  • credit risk measures to characterize credit risk
Bhatia, M., Finger, C. and Gupton, G. (1997). CreditMetrics. Technical Document. J.P.Morgan/Reuters.

(6) Copulae Modeling – Dependence Structure in Multivariate Distributions - Copulae Modellierung – Abhängigkeitsstruktur in Multivariaten Verteilungen (Master - Topic)
  • bivariate and multivariate copulae
  • Sklar's Theorem (1995)
  • Fréchet-Hoeffding bounds
Härdle, W., Okhrin, O. and Okrin, Y. (2008). Modeling dependencies in finance using copulae. Discussion Paper.