Search result: Catalogue data in Autumn Semester 2020

Quantitative Finance Master Information
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Students in the Joint Degree Master's Programme "Quantitative Finance" must book University of Zurich modules directly at the University of Zurich. Those modules are not listed here.
Elective Courses
Economic Theory for Finance
For possible additional course offerings see Link
401-4633-00LData Analytics in Organisations and BusinessW5 credits2V + 1UI. Flückiger
AbstractOn the end-to-end process of data analytics in organisations & business and how to transform data into insights for fact based decisions. Presentation of the process from the beginning with framing the business problem to presenting the results and making decisions by the use of data analytics. For each topic case studies from the financial service, healthcare and retail sectors will be presented.
ObjectiveThe goal of this course is to give the students the understanding of the data analytics process in the business world, with special focus on the skills and techniques used besides the technical skills. The student will become familiar with the "business language", current problems and thinking in organisations and business and tools used.
ContentFraming the Business Problem
Framing the Analytics Problem
Model Building
Model Lifecycle
Soft Skills for the Statistical/Mathematical Professional
Lecture notesLecture Notes will be available.
Prerequisites / NoticePrerequisites: Basic statistics and probability theory and regression
363-1081-00LAsset Liability Management and Treasury Risks Restricted registration - show details
Number of participants limited to 40.
W3 credits2VP. Mangold, M. Eichhorn
AbstractAsset Liability Management (ALM) is key to the financial success of any corporation. The goal is to develop a comprehensive understanding of the nature of corporate balance sheet and off-balance sheet positions and related profits and losses, including identification and mitigation of undue risks taken. This course is geared towards preparing students to apply these concepts in practical settings.
ObjectiveThe main learning objectives of this course are:
- develop a comprehensive understanding of the nature of corporate balance sheet and off-balance sheet positions and their respective contribution to profits and losses
- measure and assess exposures to risk factors such as interest and FX rates, equity and commodity prices, as well as liquidity events
- trading and hedging to mitigate undue risks incurred
ContentThe course is organized around a series of case studies. We will first discuss and develop an understanding of the fundamentals on different aspects of the management and risk management of the balance sheet. Using real life case studies each concept will then be directly applied and tested. In-class discussions, presentations and one written assignment are used to facilitate active and interactive learning in a stimulating environment. During the case studies students will frequently work in small groups. Therefore, the number of participants is limited to 40.

The course focuses on the application of finance concepts to the financial management of corporations and is geared towards preparing students to apply these concepts in practical settings. Executives of all sectors are expected to have a sound understanding of the content covered. As such, the course is not exclusively targeted at students who are considering a career in the financial services sector. It also recommended for students who want to work in the finance, treasury or risk area of corporates. It is also suitable for students who want to work for a consultancy firm.
LiteratureNo single textbook covers the course, below we list some useful references. Further materials will be made available to students prior to the lectures

Choudhry, M. 2012. The Principles of Banking. Wiley Finance.
Marrison, C. 2002. The Fundamentals of Risk Measurement. McGraw-Hill.
Bohn, A. & Elkenbracht-Huizing, M. 2017. The Handbook of ALM in Banking (2nd edition).
Prerequisites / NoticeParticipants should have a basic understanding of financial management, gained, for example, from prior undergraduate economics, business, or accounting studies.
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