Master Meetings

16.05.2023

Risk Management

We begin by defining the various types of financial risks and stress the need for their management through the analysis of losses and defaults of financial institutions in the recent past. We next turn to the computation of Value-at-Risk measures for portfolios of equity, bond, and option positions. We discuss the estimation of the main inputs surrounding the calculation of VaR, and elaborate on models for time-varying volatility and correlations. We cover both local-valuation models based on derivatives, as well as full-valuation models such as historical simulation and Monte Carlo methods. We also discuss alternative metrics to VaR and Extreme Value Theory. Finally, we examine models for liquidity and operational risk management.

Data Management

Databases are essential to applications in a wide variety of domains, including finance, health care, commerce, and telecommunications. In fact, most applications that people use on a day-to-day bases are backed by databases. Topics covered include modeling enterprise data with ER diagrams, the relational model, SQL, XML, logical design with normalization, physical design, query execution, transaction processing, recovery, concurrency, online analytical processing, and NoSQL systems.

Derivatives

The program of the course comprises an introduction to derivatives and three main building blocks: 1) Mechanics of futures markets; hedging strategies using futures; pricing of forwards and futures on stocks, stock indices, currencies, commodities. 2) Mechanics of options markets; properties of stock options; trading strategies involving options; option pricing with binomial trees; option pricing with the Black-Scholes-Merton model; options on stock indices and currencies; the Greeks and hedging of options; 3) Interest rates; bond pricing; forwards and futures on interest rates; interest rate swaps; currency swaps; valuation of swaps.

Information Security

The class exposes students to the fundamental concepts of cryptography, network security, and computer security. The growing importance of networks and distributed systems, and their use to support safety-critical applications, has made information security a central issue for systems today. The class centers on two main parts: security foundations (which includes security terminology, core cryptographic principles, and secure protocols) and applied security (which discusses network security, computer security, software security, and web security). Students learn to critically assess the security properties of a system and make informed decisions about implementing secure processes. Many classes feature in-class labs where students are asked to implement a cryptographic primitive, a secure protocol, or attack a vulnerable system.