Programmübersicht
CAS
Risk Management for Banking and Finance
CAS Risk Management for Banking and Finance
Course
Mathematical Foundations of Risk Management
Course
Finance Theory for Risk Management
Topic
Target audience
Goals
Topic
This course encompasses the most important concepts of the finance theory
for risk management, as well as the instruments and markets. It covers the
basic principles for the CAS in Risk Management for Banking and Finance.
Target audience
Risk professionals, or those who interface with risk management disciplines
on a very regular basis, who want to improve and expand their knowledge
in risk management.
Goals
Participants know the most important concepts of finance theory for risk management (portfolio theory and performance measurement) and the instruments and markets.
This course encompasses the most important mathematical concepts and
techniques applied in risk management. It covers the basic mathematical
principles for the CAS in Risk Management for Banking and Finance.
Risk professionals, or those who interface with risk management disciplines on a very regular basis, who want to improve and expand their knowledge in risk management.
Participants know the most important mathematical concepts for risk management and their applications.
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Content
Lecturers
Examination/Credits
Place/Dates
Course fee
‒‒Calculus: Sequences and series, exponential and logarithmic function, ordinary and partial derivatives, Taylor series expansions, integration, optimization
‒‒Linear algebra: Matrix algebra and determinants, system of linear equations, matrix decomposition methods, principle component analysis
‒‒Probability and statistics: Random variables, probability distributions,
covariance and correlation matrices, regression analysis, statistical tests
‒‒Numerical methods: Solving non-differential equations, numerical optimization, numerical derivatives pricing, simulation
Content
‒‒Introduction: Mean, (co)variance, kurtosis, skewness, correlation, efficient market hypothesis, risk aversion, utility theory
‒‒Financial instruments: Bonds, futures and forwards, swaps, vanilla options, credit derivatives, caps, floors, and swaptions
‒‒Financial markets: Money markets, bond markets, foreign exchange market, stock market, futures market, commodities market, energy market
‒‒Portfolio theory and performance measurement: Value-at-Risk concept,
efficient frontier, risk-return and performance analysis, capital asset pricing model (CAPM)
‒‒Fixed income theory: Term structure, interest rate models, bond pricing
‒‒Derivatives pricing, no-arbitrage principle, futures and forwards pricing,
put-call parity, binomial trees, Black-Scholes model
Lecturers
‒‒Prof. Dr. Erich Walter Farkas, Department of Banking and Finance, UZH
‒‒Prof. Dr. Markus Leippold, Department of Banking and Finance, UZH
‒‒Prof. Dr. Josef Teichmann, Department of Mathematics, ETH Zurich
‒‒Prof. Dr. Marc Chesney, Department of Banking and Finance, UZH
‒‒Prof. Dr. Alexandre Ziegler, Department of Banking and Finance, UZH
‒‒Prof. Dr. Erich Walter Farkas, Department of Banking and Finance, UZH
‒‒Prof. Dr. Martin Schweizer, Department of Mathematics, ETH Zurich
‒‒Prof. Dr. Marc Paolella, Department of Banking and Finance, UZH
‒‒Robert Huitema, Department of Banking and Finance, UZH
Homework and written exam.
Attestation of participation (3 ECTS Credits).
Participants who also successfully complete the courses Finance Theory for
Risk Management and Risk Management Practices will receive a CAS in
Risk Management for Banking and Finance. The credits can be transferred
to the DAS/MAS in Finance.
Classroom (attendance required), Zurich:
‒‒Friday, 27 September, 2013, 14.00-18.00
‒‒Saturday, 28 September, 2013, 9.00-18.00
‒‒Friday, 29 November, 2013, 14.00-18.00
‒‒Saturday, 30 November, 2013, 9.00-18.00
‒‒Exam (written): Friday, 24 January, 2014, 09.00-12.00
Application deadline: 31 August, 2013
Examination/Credits
Place/Dates
CHF 2 100.– including online tutoring
Course fee
Weiterbildung Advanced Studies in Finance
Weiterbildung Advanced Studies in Finance
Homework and written exam. Attestation of participation (3 ECTS Credits)
Participants who also successfully complete the courses Mathematical
Foundations of Risk Management and Risk Management Practices will receive a CAS in Risk Management for Banking and Finance. The credits can
be transferred to the DAS/MAS in Finance.
Classroom (attendance required), Zurich:
‒‒Friday, 18 October, 2013, 14.00-18.00
‒‒Saturday, 19 October, 2013, 9.00-18.00
‒‒Friday, 6 December, 2013, 14.00-18.00
‒‒Saturday, 7 December, 2013, 9.00-18.00
Exam (written): Friday, 28 February, 2014, 9.00-12.00
Application deadline: 31 August, 2013
CHF 2 100.– including online tutoring
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