Asset Class Foreign Exchange

short repetition of the most common products in this asset class; potential benchmarks for this asset class; active vs. passive strategies; estimation of the long-term return distribution of exchange rates; quantitative forecast models for the short-/mid-term distribution of exchange rates (e.g. time series analysis, neural networks, multiple regression on macro variables) trading strategies for this asset class controlling an FX portfolio using derivatives; selection and optimisation for an FX portfolio: performance and attribution analysis for an FX portfolio

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

Shamah S., 2008, A Foreign Exchange Primer, 2nd ed., Wiley; Stephens, J. 2001, Managing Currency Risk Using Financial Derivatives, Wiley; Wystup, U., 2010, FX options and structured products, 2nd ed., Wiley

Lern- und Lehrmethode

Interactive teaching (lecture and discussion), examples in MS Excel during the course, written assignments with seven problems in total to solve individually

Prüfungsmethode

The assessment of this course relies on two written assignments during the course (16 points for the first assignment and 14 points for the second assignment) and a final written exam (70 points).

Voraussetzungen laut Lehrplan

Courses of the 1st semester

Schnellinfos

Studiengang

Quantitative Asset and Risk Management (Master)

Akademischer Grad

Master

ECTS Credits

1.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2024

Semester in dem die Lehrveranstaltung angeboten wird

2 SS

Incoming

Lernergebnisse der Lehrveranstaltung

After the successful completion of the course, students are able to elaborate on the characteristics of the asset class foreign exchange. They can analyse foreign exchange-rate based products with special focus on the risks of these products. Furthermore, they can construct simple forecasting models for this asset class and utilize the results of these forecasting models in a portfolio allocation and selection process. Furthermore, they have the ability to conduct performance and attribution analyses for this asset class.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-16