All available courses are listed in LSF and Moodle. Detailed information as well as materials can be found on the corresponding course pages.
Advanced Risk Management
- Lecturer
- Prof. Dr. Ralf Elsas-Nicolle/ Prof. Dr. Markus Glaser/ Prof. Dr. Andreas Richter/ Prof. Dr. Ryan Riordan
- Assistants
- Eva Reuthlinger
- Language
- English
- Target Group
- M.Sc. Business Administration, M.Sc. Mathematics, M.Sc. Business Education I
- Link
- Lecture: LSF, Exercise Course: LSF
- Cycle
- Winter term
- ECTS
- 9 (including exercise sessions) in Module Fachspezifische Grundlagen
- Teaching format
- Lecture and tutorial
- Content
- The first part will be held by the Institute for Risk Management and Insurance and seeks to deepen the understanding of why risk management is beneficial. Starting with categorizing different sources of risk for financial and non-financial firms, important aspects of expected utility theory and its connection to financial models are analyzed. Based on the theory of optimal risk sharing and related concepts, the relevance of risk management will be examined. Review sessions will provide a deeper understanding of some theoretical concepts presented in the lecture. Additionally, exercises and case studies will improve the participants’ skills for analyzing and solving real-world risk management problems.
The second part will be held by the Institute for Capital Markets and Corporate Finance. It is concerned with market risk, covering different measures of risk and return, as well as portfolio theory and common asset pricing techniques.
The third part of the course will be offered by the Institute for Finance and Banking. It deals with market risk. You will learn the main steps in the risk management process. The lecture focuses first on modeling distributional parameters like the volatility or the dependence between assets. Afterwards, the lecture discusses tools that allow to quantify and compare risks between different assets and portfolios. Finally, you will learn how to evaluate the performance of risk management strategies by the usage of backtesting approaches.The fourth part will be held by the Institute for Financial Innovation & Technology. - Textbook
- -
- Prerequisites
- This course can be only attended on Master-level. Basic knowledge of concepts from finance and banking is necessary as well as a solid statistical background. No written application is required.
Advanced Topics in Derivatives
- Lecturer
- Prof. Dr. Lorenz Schneider
- Assistant
- Leo Schwarze
- Language
- English
- Target Group
- M.Sc. Business Administration, M.Sc. Business Education I, M.Sc. MMT
- Link
- LSF: Lecture, Exercise Course
- ECTS
- 6
- Lecture Dates
- 20.10.25 14-18 o'clock
21.10.25 14-18 o'clock
22.10.25 14-18 o'clock
23.10.25 14-18 o'clock
27.10.25 14-18 o'clock
28.10.25 14-18 o'clock
29.10.25 14-18 o'clock
30.10.25 14-18 o'clock - Content
- This compact two-week course is aimed at students with a good background in Probability Theory and Finance. The goal is to focus on several popular models for equity, foreign-exchange and commodity markets and their applicability in practice. The course will be equally balanced between theoretical considerations and results on the one hand and implementations using Excel, VBA and C# to obtain numerical results with real market data on the other hand.
The course will begin by reviewing the Black-Scholes-Merton (BSM) model and will then consider alternative methods of pricing European options. Next, in an example applying the BSM model, we will address some practical issues relating to hedging a call option in the presence of transaction costs. Thirdly, we show that the alternative numerical techniques developed previously are the only ones available when the BSM model is generalized to the Heston stochastic volatility model. The fourth topic is related to the Heston model and the implied volatility smile: here, we will study probability densities and distributions implied from the prices of European options traded on financial markets. Finally, we will review a very popular model in commodity markets, the Schwartz-Smith model. We will address typical issues for commodity markets, such as the formulation of the model in both the risk-neutral and the real-world probability measures and the log-likelihood estimation of the model’s parameters for given time series of futures prices via the Kalman filter.
Theory
• The Black-Scholes-Merton model
• Option hedging under transaction costs
• The Heston stochastic volatility model
• Implied Probability Densities
• The Schwartz-Smith commodity model
• State Space models
• The Kalman filter
Implementation
• Characteristic functions
• Running a Kalman filter
• Numerical integration routines
• Option delta hedging simulation
• Newton-Raphson rootfinder
• Neri-Schneider algorithm
• Schwartz-Smith model - Exam
- Written and oral exam
- Prerequisites
- Students are expected to be familiar with the basic concepts of risk-neutral asset pricing with fundamental models, such as the Cox-Ross-Rubinstein model and the Black-Scholes-Merton model. They should also understand concepts in probability theory such as stochastic processes in discrete and continuous time, Brownian motion and the Itô formula. Some experience in coding is also useful.
To register for the course, please write an e-mail with your name, matriculation number and field of study to ifb-hiwi@som.lmu.de
Registration period: 04.08.2025 - 16.10.2025
The number of participants in this course is restricted. Seats are allocated on a first come first served basis.
Commercial Banking
- Lecturer
- Prof. Dr. Ralf Elsas-Nicolle
- Assistant
- Valentin Luz, Konstantin Scheurer
- Language
- English
- Target Group
- B.Sc. Business Administration, B.Sc. Business Education, B.Sc. Financial Mathematics
- Link
- LSF-lecture, LSF-exercise course
- Cycle
- Winter term
- ECTS
- 6
- Teaching format
- Lecture and tutorial
- Exam
- Students will take a 120 minutes written examination at the end of the semester
- Content
- The course "Commercial Banking" provides students with an overview about the German and international banking sector, the corresponding institutional design as well as fundamental theoretical approaches and related empirical evidence. Core questions are: What is special about banks? Why and how should banks be regulated? How can banks measure and manage (credit) risk?
In particular the syllabus will cover the following topics: Module one tries to motivate why understanding the eminent role of banks in financial systems is interesting and economically relevant. It also provides a brief overview of the German financial system and the role of banks in corporate finance. Module two introduces game theory and discusses the fundamental theoretical ideas constituting our current understanding of why financial intermediaries exist. Chapter three provides an in-depth analysis of ratings as the core ingredient for banks credit risk management. Differences between external and internal ratings are discussed. Migration probabilities and default rates of external rating are shown. Statistical approaches like discriminant analysis, and logit models for measuring default risk are introduced and compared to the option-theoretic based Merton-model approach. An overview on the reason and measures for banking regulation is provided in module four. The German banking act “Kreditwesengesetz” (KWG) and the role of the supervisory authority BaFin is discussed, complemented by a brief outline of current banking regulation in Germany. This includes a discussion of deposit insurance versus institution guarantees and the fundamental types of risk a bank faces in its operations. Moreover, it provides a discussion on the Basel regulation frameworks. Module five discusses the recent phenomenon of securitization in banking that questions our understanding of why banks’ are special.
Providing students with a fundamental understanding of commercial banks and how they operate.
Offering comprehensive understanding of capital market activities.
Providing case-oriented “hands-on” training on the principles of banking.
Emphasising on extensive classroom discussions. Lecture notes can be downloaded in Moodle at the latest one week before the first lecture. You can find the credentials for entering the course at the LSF website of Commercial Banking. - Textbook
- Crouhy/Galai/Mark (2004): Risk Management, McGraw-Hill
De Servigny/Renault (2000): Measuring and Managing Credit Risk, McGraw Hill
Freixas/Rochet(1997): Microeconomics of Banking. MIT Press
Greenbaum/Thakor (1995): Contemporary Financial Intermediation, Dryden, Fort Worth - Prerequisites
- The course is designed for bachelor students in their advanced studies. Basic knowledge of finance, banking and statistics is a prerequisite. No written application is required. The course is held in English.
Data Science in Finance/Applied Finance
- Lecturer
- Prof. Dr. Ralf Elsas-Nicolle
- Assistant
- Language
- English
- Target Group
- M.Sc. Business Administration, M.Sc. Business Education I, M.Sc. MMT
- Link
- Cycle
- Winter term (not every year)
- ECTS
- 6
- Teaching Format
- Seminar
- Content
- The course provides in a “hands-on”-approach a step by step introduction to core and advanced methods of natural language processing (NLP), explaining their functionality and discussing their pros and cons in the context of corporate finance issues. All steps of the analysis are guided by the economic analysis of one research question – the economic analysis of corporate disclosures and their impact on firm value (stock prices). Econometric concepts will only be briefly discussed, the focus is on the methodology application in Matlab in the research context.
No special prior knowledge of Data Science is required. However, basic knowledge of Matlab is mandatory. We recommend that you have attended at least the “Proseminar Matlab” or the “Projektkurs Finance” in advance. To ensure that you have sufficient experience with Matlab, the written part will consist of an entrance exam that will ask for the basics of Matlab. To prepare for this course we recommend the above mentioned courses or the following 2h tutorial: https://de.mathworks.com/learn/tutorials/matlab-onramp.html.
The entrance exam takes 1 hour and will be done via Matlab Grader. Further information and instructions will be posted on Moodle. - Textbook
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Advanced Seminar - Hidden Biases in Bank Lending: A Data-Detective Seminar
- Lecturer
- Prof. Dr. Ralf Elsas-Nicolle
- Assistant
- Mareike Worch
- Language
- English
- Target Group
- B.Sc. Business Administration, B.Sc. Business Education I/II
- Link
- LSF
- Cycle
- Winter & summer term
- ECTS
- 6
- Teaching format
- Two mandatory in-person sessions (kick-off and final presentations) plus group meetings with the supervisor.
Planned Start- and Enddate: 15.10.25/09.12.25
Dates with attendance obligation: 15.10.25/09.12.25 - Content
- Are you curious how banks really decide who gets credit—and how econometric pitfalls can turn sound theories upside down? In this hands-on seminar, you will build a foundation in the theory and practice of bank lending and you’ll tackle one of the four key endogeneity challenges that plague empirical studies—omitted variables, simultaneity, measurement error in both the dependent and independent variables—by dissecting landmark banking papers and coding your own Monte Carlo simulations in MATLAB.
- Prerequisites
- Prerequisites To successfully complete the course, the participation in the course Matlab for Finance is recommended.
Maximum number of participants: 20 - Examination
- Students have to write a 12-15 pages essay and present their results in front of other students in a 20 minutes presentation.
The course language is English. The final grade is determined by the grade of the essay and by the grade of the presentation and class participation.
Investition und Finanzierung
- Lecturer
- Prof. Dr. Ralf Elsas-Nicolle
- Assistant
- Eva Reuthlinger
- Language
- German
- Target Group
- B.Sc. Business Administration (GOP), B.Sc. Business Education I/II
- Link
- Lecture: LSF , Exercise Course: LSF, Tutorial: LSF
- Cycle
- Winter term
- ECTS
- 6
- Teaching format
- Weekly lecture and tutorial
The lecture takes place on Tuesdays 12:00-14:00 in the Audimax
First lecture: 22.10.2024
Tutorials start: 11.11.2024 - Exam
- Students will take a 60 minutes written examination
- Content
- Students should gain a basic understanding in the areas of corporate investment decisions, corporate financing decisions, and capital markets. They should become acquainted with, classify, and be able to apply the most important questions, methods, and theories in the field of Corporate Finance and Capital Markets. The lecture aims to provide an overview and spark interest in this subject area. The course is intended for undergraduate students.
To gain a better understanding of topics related to economics, we recommend reading magazines such as "The Economist". Students of the Faculty of Business Administration and Economics have access via our university library E-Media Login. - Textbook
- Peter DeMarzo, Jonathan Berk; Buch: Corporate Finance, Global Edition
Investment Banking/Topics in Finance
- Lecturer
- Prof. Dr. Ralf Elsas-Nicolle
- Assistant
- Leo Schwarze
- Language
- English
- Target Group
- M.Sc. Business Administration, M.Sc. Business Education I, M.Sc. MMT, MBR
- Link
- LSF
- Cycle
- Winter term
- ECTS
- 6
- Teaching format
- Four mandatory in-person sessions (topic and case study presentation)
- Content
- This course is designed to make students familiar with fundamental concepts and issues in the area of investment banking. Its components are lectures, self-study, and student presentations on selected topics.
Note: M&A transactions for the case study will be allocated after the preparatory session.
Please notice that after the topics have been allocated at the preparatory session your participation is binding. In case of a non-taking part it will be marked with a 5.0 grade (failed) - Textbook
- Copeland / Koller / Murrin (2000): Valuation: Measuring and Managing the Value of Companies, Third Edition, Wiley.
Damodaran (2002): Investment Valuation, 2nd edition, New York.
Hull (2003): Options, Futures, and Other Derivatives, Fifth Edition, Upper Saddle River NJ.
Weston / Mitchell / Mulherin (2003): Takeovers, Restructuring, and Corporate Governance, 4th edition, New Jersey. - Examination
- Students have to individually prepare a case study illustrating an M&A transaction and discuss three papers on topics relevant for investment banking in short written assignments. The case study will be presented and discussed.
- Prerequisites
- This course can be only attended on Master-level. Basic knowledge of concepts from finance and banking is necessary. It can be helpful to have attended the course “Advanced Risk Management” but it is not a prerequisite. Application and registration starts on 05.08.2025 and ends on 06.10.2025.
You can apply until 06.10.2025, 23:59, indicating your matriculation number, number of semesters by mail: ifb-hiwi@som.lmu.de.
Presentations & Reports
- Lecturer
- Prof. Dr. Ralf Elsas-Nicolle
- Assistant
- Eva Reuthlinger
- Language
- English
- Target Group
- MBR
- Contact Mail
- mbr-reports@som.lmu.de
- Link
- LSF
- Cycle
- Summer and winter term
- ECTS
- MBR Course (A/II module), counts as 2 SWS (3 ECTS).
Requirements for passing the course consist of attending the course kick-off lecture, writing a referee report AND attending five seminar presentations by non-LMU speakers at eligible seminar series. All requirements have to be fulfilled within two semesters. - Teaching format
- Seminar
- Content
- Presentations & Reports is a doctoral-level course designed to foster critical engagement with academic research and to develop key skills in scholarly communication. The course aims to strengthen students' ability to assess academic work from a reviewer’s perspective and to reflect on standards of academic quality and argumentation.
Additionally, it provides an opportunity to engage with current research by attending high-level guest presentations from scholars external to the university. Through this dual focus, the course helps participants refine their analytical thinking, deepen their understanding of academic publishing practices, and broaden their exposure to diverse research approaches and topics. - Assessment
- Participants are required to complete three components to pass the course:
1 Kick-off session
a. Participation and registration at the kick-off session are mandatory.
2 Referee report
a. Each student must submit a referee report of a quality suitable for submission to a high-ranked journal.
b. The report should review a full paper to be presented at a research talk at an eligible LMU SOM seminar (details see below).
c. The referee report has to be sent to mbr-reports@som.lmu.de before the seminar presentation takes place.
d. The report should include comments to the authors and a brief comment to the editor with the decision of the student (e.g., reject, major revision, minor revision, conditional acceptance).
3 A completed form with 5 attended seminar presentations
a. Several seminar series at LMU SOM (see below) qualify for fulfilling the attendance requirement of this course.
b. Students must attend five presentations. However, only seminars given by external speakers (i.e., not LMU faculty) are eligible.
c. The five seminars must not all come from the same series (e.g., not exclusively from ORG).
d. Students are required to provide proof of attendance by the organizer’s signature.
e. Course requirements need to be met within two semesters after course registration. The referee report submission and the attended seminar sessions need to take place in this time period. - Further Information
- The kick-off session is held in English.
Attendance to the kick-off is mandatory.
Students have to provide a confirmation of attendance (signature of Prof. Elsas-Nicolle obtained during the event).
Reports generated for conferences are not eligible for the course.
The kick-off session will delineate how to write referee reports.
Note, however, that a report
- requires intense and careful analyses of the academic study it deals with.
- should be written in a scientific and constructive style.
Trivial or AI-written referee reports are not eligible for the course. In doubtful cases, another referee report has to be submitted, or alternatively, an oral presentation is required.
List of eligible seminar series at LMU SOM:
Finance and Risk Seminar (Professorship for Behavioral Risk Management and Insurance)
ORG Seminar (Institute for Strategy, Technology and Organization)
Risk and Microeconomics Seminar (Munich Risk and Insurance Center)
Accounting Research Workshop (Institute for Accounting and Controlling)
CAMS (LMU Center for Advanced Management Studies)
Munich Finance Day (Institute for Finance and Banking, only with LMU-external speakers)
Quantitative Methods
- Lecturer
- Prof. Dr. Ralf Elsas-Nicolle
- Language
- English
- Zielgruppe
- MBR
- Link
- LSF
- Cycle
- Summer and winter term
- ECTS
- 2 SWS, MBR Module A I
- Teaching format
- Seminar
- Content
- This PhD course in econometrics is designed to provide a deep understanding of foundational concepts and methods in econometrics, in particular understanding inference testing, problems and solutions arising from violations of standard OLS assumptions, and using foundational methods like panel regressions or limited dependent variable methods. Students will delve deep into data analysis, program econometric estimators, and execute Monte Carlo simulations, ensuring both theoretical knowledge and practical skills are honed. Additional readings and datasets will be provided throughout the course.
Course Outline:
Topic 1: Introduction and Overview
- Course objectives and design.
- Brief introduction to MATLAB.
Topic 2: Ordinary Least Squares (OLS)
- Basics of OLS estimation and interpreting results.
- Hands-on: Programming OLS estimation in MATLAB.
- Simulation, interpretation, and diagnostic tests.
- Robust standard errors: White and Newey-West
Topic 3: Challenges in Econometric Analyses
- Partial correlation
- P-Hacking
- Bayes-p-Value
Topic 4: Instrumental Variables (IV) Estimation
- The inherent problem with endogeneity and the role of IV
- Introduction to IV and 2SLS estimators
- Case: Weak instruments problem
- Hands-on: Application on seatbelt usage and fatality prevention
Topic 5: Panel Methods (Part 1)
- Understanding pooled, fixed effects (FE), and random effects (RE) estimators
- Properties of FE/RE estimators
- Hands-on: Estimation of a FE model
Topic 6: Panel Methods (Part 2)
- Introduction to dynamic panel estimators
- Application: Arellano/Bond simulations
Topic 7: Differences-in-Differences Analysis of Causality
1. Fundamental principles and application
2. Hands-on: Establishing causality using DiD in a case study
Topic 8: Limited Dependent Variables (Part 1)
- Introduction to methods: Logit/Probit estimator
- Maximum likelihood estimation for the logit model
- Hands-on: Programming MLE Logit estimation in MATLAB
- Understanding and calculating marginal effects for the logit estimator
- Hands-on: Calculating marginal effects using MATLAB.
Lecture notes and data files will be sent to the students by mail before the beginning of the course. For your personal benefit, please familiarize yourself with the econometric packages before the first lecture (information on MATLAB licenses see below). - Assessment
- Grading will be based on an assignment, where students are asked to replicate a paper from their area of research and conduct a robustness test, analyzing the paper’s results validity by using a Bayesian p-value analysis.
- Required Software
- MATLAB (prior familiarity recommended)
- The recommended solution is to acquire a student version of Matlab, which has unlimited functionality, can comprise several toolboxes from Mathworks and costs about €90
- Matlab in FIT computer labs
- A limited set of licenses is available from the Institute for Finance & Banking - Reference Texts
- 1. Johnston / di Nardo (1997): Econometric Methods, 4th ed., McGraw-Hill
2. Greene (2008): Econometric Analysis, 6th ed., Prentice Hall.