All available courses are listed in LSF and Moodle. Detailed information as well as materials can be found on the corresponding course pages.
Investition und Finanzierung
- Lecturer
- Prof. Dr. Ralf Elsas/ Prof. Dr. Andreas Richter/ Prof. Dr. Markus Glaser/ Prof. Dr. Ryan Riordan
- Assistant
- Language
- German
- Target Group
- B.Sc. Business Administration (GOP), B.Sc. Business Education I/II
- Link
- Cycle
- Winter term
- ECTS
- 6
- Teaching format
- Weekly lecture and tutorial
The lecture takes place on Tuesdays 12:00-14:00 in the Audimax - 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
ABWL - Accounting und Finance
- Lecturer
- Prof. Dr. Ralf Elsas
- Language
- English
- Target Group
- B.Sc. Business Administration, B.Sc. Business Education I/II
- Link
- Cycle
- Winter term
- ECTS
- 3 ECTS: PO 2008: 3 ECTS in Module BWL VII (ABWL); PO 2015: 3 ECTS in Module P14.2 as part of Module "Accounting & Finance"
- Teaching format
- Two mandatory in-person sessions (topic and case study presentation)
- Exam
- Students will take a 60 minutes written examination at the end of the semester
- Content
- This course presents and analyses financial options, such as European options and American options. Students will learn how to price options using the binomial option pricing technique as well as the Black-Scholes option pricing formula. Risk-neutral probabilities will be introduced. This course also discusses risks related to commodity prices, exchange rates as well as interest rates and studies how to manage/hedge such risks. The efficient portfolio choice problem and the Capital Asset Pricing Model will be recapped at the beginning of the course.
- Textbook
- Berk/DeMarzo: “Corporate Finance”, 4th ed., 2017
- Prerequisites
- The course is designed for bachelor students in their advanced studies. Basic knowledge of finance and statistics is a prerequisite. No written application is required.
Commercial Banking
- Lecturer
- Prof. Dr. Ralf Elsas
- Assistant
- Mareike Worch
- Language
- English
- Target Group
- B.Sc. Business Administration, B.Sc. Business Education, B.Sc. Financial Mathematics
- Link
- LSF-lecture, LSF-exercise course
The first lecture starts on Nov. 6 at 16:00 (till 21:00), for reference see LSF! - 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.
Advanced Seminar - Value of Financial Analysts
- Lecturer
- Prof. Dr. Ralf Elsas
- Assistant
- Leo Schwarze, Eva Reuthlinger
- 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
- Content
- Financial Analysts play an important role in today’s financial markets. They are information intermediaries who gather, analyze and publish information for financial market participants. Therefore, they have the potential to influence asset prices and market expectations by conveying information about future cash flows and earnings.
We discuss the potential implications of the (surprise) information produced by analysts for security returns and how their earnings forecasts are used to calculate expected returns.
Topics will include an empirical analysis that should be conducted using the statistical software package Matlab.
Topics will deal with aspects:
- Surprise in earnings announcements
- Use of earnings forecasts in estimating expected returns
- Analysts dispersion and learning over time
Topics will be allocated at the kick-off meeting. Each topic will be briefly presented at this meeting. Depending on the number of participants we will assign 1-3 topics. Students will work on a chosen topic in groups of 3-4 persons. - Textbook
- Kothari, S. P., So, E., & Verdi, R. (2016). Analysts’ forecasts and asset pricing: A survey. Annual Review of Financial Economics, 8, 197-219.
Bodie, Z., Kane, A., & Marcus, A. J. (2014). Investments and portfolio management. McGraw Hill Education - 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.
Advanced Risk Management
- Lecturer
- Prof. Dr. Ralf Elsas/ Prof. Dr. Markus Glaser/ Prof. Dr. Andreas Richter/ Prof. Dr. Ryan Riordan
- Assistants
- Moritz Scherrmann, tba
- Language
- English
- Target Group
- M.Sc. Business Administration, M.Sc. Mathematics, M.Sc. Business Education I
- Link
- LSF-lecture,LSF-exercise-course
- 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
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- 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. Financial and Insurance Mathematics, M.Sc. Business Education I, M.Sc. MMT
- Link
- LSF
- ECTS
- 6
- 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 is possible until October, 09th 2023. The number of participants in this course is restricted. Seats are allocated on a first come first served basis.
Data Science in Finance/Applied Finance
- Lecturer
- Prof. Dr. Ralf Elsas
- 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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Methods in Management
- Lecturer
- Prof. Dr. Dr. h.c. Marko Sarstedt/ Prof. Dr. Manfred Schwaiger/ Prof. Dr. Ralf Elsas
- Assistants
- Valentin Luz/ Leo Schwarze, tba
- Language
- English
- Target Group
- M.Sc. Business Administration, M.Sc. Business Education I/II
- Link
- LSF-lecture, LSF-exercise course
- Cycle
- Winter term
- ECTS
- 6
- Teaching format
- Lecture and tutorial
- Content
- This module deals with the principles, methods, and tools of empirical analysis in business administration. It provides an overview of the key concepts of empirical methods in management research, and introduces selected approaches in greater detail, drawing on real-world examples.
Students will learn to identify suitable approaches to answer business-related questions, as well as to critically assess extant empirical analyses. Students will also learn the principles of various statistical methods. During the tutorials, students will apply these approaches and statistical methods to concrete tasks.
The Institute for Finance & Banking will focus on conducting a research project, which is developed during the course. The project is about impact of late filing of 10K’s/10Q’s on the firm’s probability of default. Particular focus will be put on obtaining secondary data, estimating statistical measures, and identifying the causal mechanisms using quasi-experimental methods.
Lecture Notes:
Please note that the course is completely organized via the elab Moodle In Moodle we will upload all lecture material and problem sets. In addition, you are able to ask questions in predesigned forms. - Examination
- Students will take a 120-minutes computer-based examination
- Prerequisites
- The course is designed for master students in their advanced studies. Knowledge of finance, statistics and mathematics is a prerequisite.
Project Course Finance
- Lecturer
- Moritz Scherrmann
- Language
- German
- Target Group
- M.Sc. Business Administration
- Cycle
- Winter & summer term
- Link
- ETCS
- 12
- Teaching format
- In person, weekly workshops, blocked
- Content
- The Projektkurs Finance consists of two parts. The Institute for Finance & Banking organizes the first part. In Part 1, students are introduced to the fundamentals of Matlab as well as techniques for empirical work. These are applied to problems in the field of Financial Modeling and Algorithmic Trading. Students work on an assignment in small groups, in which, for example, a given trading strategy should be implemented, calibrated, and tested with historical data (backtesting). The second part of the course is led by the Institute for Capital Markets and Corporate Finance. Students can use their knowledge from Part 1 to understand the methods and analyses of assigned papers and replicate them with their own data. Finally, the results of this work are presented and discussed in front of all participants.
Quantitative Methods
- Lecturer
- Prof. Dr. Ralf Elsas
- 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.