Syllabus

Title
2500 Course IV - Risk Management
Instructors
Elena Sponga, M.Sc., Univ.Prof. Dr. Stefan Pichler
Contact details
sbwl.finance@wu.ac.at (admin questions). Please indicate your course number!
Type
VUE
Weekly hours
2
Language of instruction
Englisch
Registration
09/16/26 to 09/27/26
Registration via LPIS
Notes to the course
Dates
Day Date Time Room
Thursday 12/03/26 10:00 AM - 12:30 PM TC.0.01
Wednesday 12/09/26 05:00 PM - 07:15 PM TC.4.02
Thursday 12/10/26 10:00 AM - 12:30 PM TC.0.01
Wednesday 12/16/26 05:00 PM - 07:15 PM TC.4.02
Thursday 12/17/26 10:00 AM - 12:30 PM TC.0.01
Thursday 01/07/27 10:00 AM - 12:30 PM TC.0.01
Thursday 01/07/27 05:00 PM - 07:15 PM D4.0.136
Wednesday 01/13/27 05:00 PM - 07:15 PM TC.4.02
Thursday 01/14/27 10:00 AM - 12:30 PM TC.0.01
Wednesday 01/20/27 05:00 PM - 07:15 PM TC.4.02
Tuesday 01/26/27 10:00 AM - 11:30 AM Präsenz-Prüfung
Contents

Unit 1: Statistical foundations (Ch 22.1, lecture notes)

o General concepts of risk and uncertainty

o Risk measures (dispersion based vs. quantile based) and their properties

o Methods to compute VaR under normality or using the empirical sample distribution

o Extension to the multivariate case

 

Unit 2: Economic foundations (Ch. 21-22, lecture notes)

o Why is hedging relevant? How does hedging compare to the MM-world?

o Main focus on financial distress costs

o Managing systematic vs. unsystematic risk

o Valuation of corporate debt considering total risk: concept of credit ratings and PDs

o Maintaining locally optimal costs of capital: ROEC and RORAC

 

Unit 3: Credit risk (lecture notes)

o Probabilistic credit risk models: univariate case

o Probabilistic credit risk models: multivariate case

o Single-factor model and connection to CAPM/market model

o Credit VaR: simulation with given parameters, calibration to observable data

 

Unit 4: Interest rate risk (Ch. 23, lecture notes)

o Measures of interest rate risk (duration, PV01)

o Basics of asset-liability-management

o Debt financing decision: fixed or floating?

 

Unit 5: FX risk (Ch 22.2, lecture notes)

o Foundations of FX markets (institutions, structure, instruments, quotation)

o Economic determinants of FX rates

o Measuring FX risk

o Hedging FX risk with forwards and options

Learning outcomes

After completing the course, students will understand

· The statistical properties and economic foundations of important risk measures

· How to compute important risk measures based on market data

· How to connect risk management and hedging to the Modigliani-Miller model

· The concept of credit ratings and default probabilities to measure credit risk

· How to compute and how to apply measures of interest rate risk

· How to compute and how to apply measures of FX risk

Attendance requirements

Participation is compulsory in the interactive part. There are grade related performance assessments in each interactive unit. It is not possible to get points for those assessments if you are not present. Note that students may still pass the course if they are absent in the interactive sessions once only. However, students will fail the course if they are absent in the interactive sessions twice or more.

Teaching/learning method(s)

The course is composed of two parts, a lecture part (5 units) and an interactive part (5 units). The lecture part is organized in one big class for all students of the specialization. The interactive part is organized in small groups (max. 30 students). The five lecture units take place once a week. The five interactive units also take place once a week, but start one week after the first lecture unit.

The teaching approach of the lecture part is the traditional class room teaching. In the interactive part a mix of methods is applied that includes student presentations of numerical examples (“mini-cases”), class discussions, presentations by the lecturer and real-life case studies. There will be a final exam which covers the content of the lecture part, the interactive part, as well as the specified textbook chapters.

Based on the introduction to the underlying concepts in the lecture part, students will have to prepare small numerical problems ("mini-cases") for the interactive part. The concepts of the first lecture unit are applied and deepened in the first interactive unit, and so on. The mini-cases are presented by students and solutions are discussed with the lecturer. In addition, more involved case studies are discussed to provide additional insight into industry applications.

All courses and the final exam are held on campus. Please carefully check out more info on the final exam in the assessment section. 

Please note the following policy regarding the hybrid mode of this course:
Streaming of the lecture units will only take place if the number of students in the room exceeds the room capacity. Seats in the lecture room are available on a first-come, first-served basis. The interactive classes will never be streamed.

Assessment

The components for the grades are weighted as follows:

  • 40% final exam
  • 60% interactive part

For further details on the exam, interactive units, and grading, please read the ‘Additional information for course members’ section carefully.

Prerequisites for participation and waiting lists

Students need to be admitted to the specialization Finance: Markets, Institutions & Instruments and need to have completed Course I and Course II successfully to register for the course.

Readings

Please log in with your WU account to use all functionalities of read!t. For off-campus access to our licensed electronic resources, remember to activate your VPN connection connection. In case you encounter any technical problems or have questions regarding read!t, please feel free to contact the library at readinglists@wu.ac.at.

Recommended previous knowledge and skills

Basic knowledge of Excel or R, basics in Statistics

Availability of lecturer(s)

stefan.pichler@wu.ac.at

Last edited: 2026-09-29



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