Ankündigung eines Blockseminars im Wintersemester 2009/2010:
Datum: 12. – 16.10.2009, ganztägig
Sprache: Englisch
Das Blockseminar kann als “Seminar zur Wirtschaftsmathematik” angerechnet werden.
Prüfungsform:
Hausarbeit mit Referat, zu erstellen während bzw. im Anschluss an das Blockseminar
Zielgruppe: Studierende der Studiengänge IME und Wirtschaft
Dr. Manuela Ender
Purpose of course
This course will provide an introduction to finance and capital markets. Its purpose is to make students acquainted with the basic concepts of quantitative methods and models used in banking and in insurance companies. The course will cover pricing as well as risk management. The connection between banking and insurance companies will be stressed, but also the differences will be discussed. Changes due to the financial crises of 2007-2009 will complete the course.
Agenda
1. Introduction to finance and capital markets
1.1. Asset selection
1.2. Return and risk
1.3. Modeling stock prices
2. Banking
2.1. The meaning of models in banking
2.2. Applications
2.2.1. Pricing in banking
2.2.1.1. Interest rates: savings and loans
2.2.1.2. Fixed income products
2.2.1.3. Non-maturing products
2.2.2. Risk management in banking
2.2.2.1. Risk types and measures
2.2.2.2. Risk aggregation
2.2.2.3. Asset allocation
2.3. Outlook: Lessons learned from recent financial crisis
3. Insurance companies
3.1. The meaning of models in insurance companies
3.2. Applications
3.2.1. Actuarial calculations
3.2.1.1. Insurance principle
3.2.1.2. Life insurance
3.2.1.3. Non-life insurance
3.2.2. Risk management in insurance companies compared to banking
3.2.3. German „Bausparkassen“: sometimes banks, sometimes insurance companies
3.3. Outlook: Changes due to Solvency II
4. Industrial enterprises
4.1. Corporate risk management
4.2. Application of models used in banking and insurance companies
5. Conclusion and outlook
5.1. How banks could learn from insurance companies?
5.2. How insurance companies could learn from banks?
5.3. How industrial enterprises could learn from financial risk management?
