Professor Martin Oehmke

This course is compulsory on the MSc in Finance and Risk. This course is not available as an outside option.

This course does not permit auditing students.

This course introduces students to the foundational concepts and key issues in risk management, financial intermediation, and financial regulation.

The course covers (i) different aspects of market and non-market risk including their measurement and management and (ii) the nature the nature, fragility and regulation of financial intermediation. Specific topics covered include the purpose of risk management,risk measures (e.g., Value-at-Risk, Expected Shortfall), the institutional details of financial institutions and their special functions, and canonical models of financial intermediation (liquidity transformation, monitoring, private money creation). These models will serve as a foundation to understand and assess the regulation of banks and other financial market participants.

60 hours of seminars in the AT.

Students will be given weekly problem set assignments.

Lecture Notes and additional course readings that will be made available on Moodle. 

Additional background reading: J. Hull, Risk Management and Financial Institutions, 5th Edition, 2018; P Jorion, Value At Risk 3rd Edition 2006; (McGraw Hill); X Freixas and J-C Rochet, The Microeconomics of Banking 3rd Edition, 2023.

Continuous assessment (100%).

This includes mandatory attendance of Deutsche Bank seminars in WT.

A substantial (10,000 word) thesis, due in August, is an integral part of the course and represents 50% of the assessment.