Course Syllabus Finanzcontrolling II WS 2013/2014 - Universität ...

Professor Dr. Niklas WagnerLehrstuhl für Betriebswirtschaftslehremit Schwerpunkt FinanzcontrollingTelefonFrau Huber+49 (0)851 509-3240+49 (0)851 509-3241Telefax +49 (0)851 509-3242e-mailnwagner@uni-passau.defincon@uni-passau.deZeichenfinconDatum 07.10.2013Course SyllabusFinanzcontrolling II WS 2013/2014Course OutlineThe course provides an in depth analysis of methods and tools for credit risk management aswell as their application and their role in the unfolding credit crisis. The focus is on modelsthat can capture portfolio effects, the relation to capital structure, term structure effects andthe pricing of defaultable bonds.PrerequisitesPrerequisites are fundamental skills in statistics and probability (random variables and theirdistributions), as well as the contents of an introductory course in corporate finance (valuationof bonds and stocks, NPV, CAPM). Familiarity and working knowledge with the contents ofthe course Finanzcontrolling I, in particular basic concepts of risk management in banks(market and credit risk management) is recommended, but not required. A workingknowledge of the functioning and valuation of derivatives is recommended, such as forexample provided by the Bachelor course Futures and Options Management.Rules for Course ParticipationThis course is designed for students who specialize in Accounting, Finance and Taxation. Itprovides the basis for work on a Masters thesis in that specialization.Besucheradresse Innstraße 27, Raum 101-105Internetadresse wiwi.uni-passau.de/wagner

Participants are strongly encouraged to actively participate. Also, discussion of the coursecontents is encouraged. Course contents will be applied in problem sessions and small casestudies in the weekly tutorial section of the course. It is strongly recommended to activelyparticipate in the weekly problem sections in order to gain technical acquaintance with thesubject.TimetableThe lecture takes place in Room WiWi HS 6, Universität Passau, Tuesdays 14:00 – 16:00.The weekly problem section takes place in Room WiWi HS6, on Wednesdays 09:00-10:00.The tentative timetable for the class is as follows.Day Time Topic ReferencesTuesday,15.10. 14:00-16:0022.10. 14:00-16:005.11. 14:00-16:0012.11. 14:00-16:0019.11. 14:00-16:0026.11. 14:00-16:003.12. 14:00-16:0010.12. 14:00-16:0017.12. 14:00-16:007.1. 14:00-16:0014.1. 14:00-16:0021.1. 14:00-16:0028.1. 14:00-16:004.2. 14:00-16:00Introduction and course outline.Balance sheet structure, businessmodel and default risk of banksCredit risk at the portfolio levelThe Vasicek single factor modelCapital structure and default riskThe Merton structural modelThe term structure of interest ratesTerm structure and LIBOR swap ratesDynamics of the shortrate, termstructure and central bank operationsThe Das-Sundaram model forarbitrage-free pricing of creditderivativesTerm structure of defaultable bondpricesCash flow mapping and some selectedsynthetic derivativesEstimation and calibration of a termstructure of defaultable bondsBenchmarks for the risk-free rate[BIS],[HPW],[H],[Sch],[EFN][FR],[HPW],[H],[Sch][BOW], [L],[EFN],[H][BOW],[L],[EFN],[H][BOW],[L],[MRW][BOW],[L],[EFN],[MRW][H],[MRS],[D],[S][H],[L],[S],[D],[MRS][H],[L],[S],[D],[MRS][DaS],[MRW],[S][DaS],[D],[MRS],[MRW],[L],[S][DaS],[MRS],[MRW],[L],[S][DaS],[MRS],[MRW],[L],[S][L],[MRS],[MRW]Besucheradresse Innstraße 27, Raum 101-105Internetadresse wiwi.uni-passau.de/wagner

The course will be graded via a one hour final examination: Final Examination (5 ECTScredits), at a date to be announced in the early weeks of the course.ReferencesBank for International Settlements (BIS) (2001): The New Basel Capital Accord, Basel:www.bis.orgBluhm, C., Overbeck, L., Wagner, C. (2003): An Introduction to Credit Risk Modelling,Chapman and Hall, London [BOW]Das, S.R., Sundaram, R.K. (2000): A discrete-time approach to arbitrage-free pricing ofcredit derivatives, Management Science, 46 [DaS]Deutsch, H.P. (2004) Derivate und interne Modelle – Modernes Risikomanagement [D]Duffie, D., Singleton K. J. (2003): Credit Risk, Princeton University Press, Princeton [DS]Embrechts, P., Frey, R., McNeil, A. (2005): Quantitative Risk Management, PrincetonUniversity Press, Princeton [EFN]Freixas, X., Rochet, J.Ch. (2008) Microeconomics of banking, 2nd edition, MIT Press,Cambridge Massachusetts, London, England [FR]Hartmann-Wendels, T., Pfingsten, A., Weber, M. (2004): Bankbetriebslehre, Springer[HPW]Hull, J.C. (2003): Options, Futures and other derivatives, Prentice Hall [H]Lando, D. (2004): Credit risk modeling, Princeton University Press, Princeton [L]Martin, M., Reitz, S., Schwarz, W. (2003): Zinsderivate, Vieweg, Wiesbaden [MRS]Martin, M., Reitz, S., Wehn, C. (2006): Kreditderivate und Kreditrisikomodelle, Vieweg,Wiesbaden [MRW]Schierenbeck, H. (2003): Ertragsorientiertes Bankmanagement, Gabler, Wiesbaden [Sch]Schönbucher, Ph.J. (2003): Credit derivatives pricing models, John Wiley & Sons Ltd., TheAtrium [S]Wagner, N. (ed. (2008): Credit risk – Models, Derivatives, and Management, Chapman &Hall, Boca Raton [W]Besucheradresse Innstraße 27, Raum 101-105Internetadresse wiwi.uni-passau.de/wagner