Themen der Lehrveranstaltung
• Quantitative methods: Review of financial mathematics and modelling. • Credit risk transfer: Determination of credit risk and usage of instruments like credit default swaps, total return swaps, asset backed securities, etc. • Structured products: Development and pricing of products - based on equities and fixed income securities - that exhibit specific return, risk or other attributes. • Alternative investments: Fundamentals of the alternative investment space, especially real assets, private equity & hedge funds. Adding value through active management (absolute & relative returns, risk reduction through diversification). • Investment strategies: Theoretical foundation and empirical testing of trend following, and momentum strategies, fixed-income strategies and relative value & event driven strategies

Unterrichtsform
Lectures and empirical applications

Bildungsziele
Intended Learning Outcomes (ILO) ILO 1 Knowledge and understanding: ILO 1.1 Students will develop specialised knowledge within the economic and business domains, tailored to their areas of interest and essential for addressing decision-making and managerial challenges in both public and private organisations. This learning outcome emphasises an interdisciplinary approach to problem-solving and organisational analysis. ILO 1.2 Within the Data Analytics for Economics track, students will acquire advanced knowledge in economic theory, economic analysis, and econometrics through the study of microeconomics and macroeconomics, decision theory under uncertainty, time-series analysis and forecasting techniques, and methods for causal inference using both administrative and experimental data. Additionally, students will develop competencies in data analysis, applying quantitative and computational approaches to address complex economic problems. ILO 2 Applying knowledge and understanding: ILO 2.1 Students will demonstrate the ability to analyse business-related issues that underpin data-driven decision support by applying statistical models and computational modelling techniques. This outcome focuses on integrating quantitative methods to evaluate and optimise organisational decision-making processes. ILO 2.2 Students will demonstrate the ability to utilise and apply models designed for market analysis and for the formulation of economic policies. This outcome emphasises the integration of theoretical and empirical approaches to support evidence-based policy development and strategic decision-making. ILO 3 Making judgements: ILO 3.1 The student acquires the ability to apply acquired knowledge to interpret data in order to make directional and operational decisions in a business context. ILO 3.2 The student acquires the ability to apply acquired knowledge to support processes related to production, management and risk promotion activities and investment choices through the organisation, analysis and interpretation of complex databases. ILO4 Communication skills: ILO 4.1 The student acquires the ability to communicate effectively in oral and written form the specialised content of the individual disciplines, using different registers, depending on the recipients and the communicative and didactic purposes, and to evaluate the formative effects of his/her communication. ILO 5 Learning skills: ILO 5.1 The student acquires knowledge of scientific research tools. He/she will also be able to make autonomous use of information technology to carry out bibliographic research and investigations both for his/her own training and for further education. Furthermore, through the curricular teaching and the activities related to the preparation of the final thesis, she will be able to acquire the ability - to identify thematic connections and to establish relationships between methods of analysis and application contexts; - to frame a new problem in a systematic manner and to implement appropriate analysis solutions; - to formulate general statistical-econometric models from the phenomena studied.

Art der Prüfung
Attending students may opt between two different types of assessment (ILO 1-5): 1) ILO 1-5: Written final exam (100% of the final grade). 2) ILO 1-5: Project paper (50%) and written final exam (50%). Non-attending students only have the first option (100% written final exam).

Bewertungskriterien
Theoretical knowledge of models and concepts covered in the class as well as knowledge of their empirical applications.