15.01.2025 Master Seminar SS 2025 Hedging

"Empirical Implementation of Hedging"

  • Registration/Deregistration

    Possible Aril 1 to April 30, 2025.
    Please register via email and provide us with your name, registration number, academic program, Ms./Mr. and preferred communication language (German or English)

    1. Due to restrictions on supervision, the research group Finance and Banking will be setting maximum limits for the number of participants for the Master Seminar starting from summer semester 2021:  15

    2. The allocation of places will follow a first-come-first-served basis. However, students taking the major (Schwerpunkt) Accounting & Finance will have a priority since they require the seminar and thesis for their study programme.

    Deregistration: May 1 - May 5, 2025. Later withdrawals will automatically lead to a fail grade.

  • General information

    Information on basic ideas, topics, examination etc. can be found on our seminar page.

  • Assignments

    • General Assignment
      • Calculating optimal hedge ratios and estimating the hedge effectiveness.
      • Each participant will receive a further more specific task.
    • Individual Aspects
      • All computations must be performed with the help of Excel.
      • Preparing the time series
        • Data preparation (for example: consideration of Stock-Splits, missing values, etc.)
        • Weak stationarity, autocorrelation
      • Variation of the input data (depending on individual tasks)
      • Hedging (depending on individual tasks)
        • Hedge ratios (micro hedge, portfolio hedge)
        • Hedge effectiveness (in- and out-of-sample)
        • Varying estimation windows (including statistical tests)
        • Varying length of the hedge (including statistical tests)

  • Time schedule

    • Kick-off: digital on April 30, 2025 in the time slot of the Banking lecture, 08:15 to 09:00 a.m.
    • Topics will be assigned on Thursday, May 12, 2025.
      • Topics will be sent by email, no personal contact is required.
    • Intermediate presentation: block-event, which will be held between June 6, 2025.
    • Submission of the written work via email must be in form of word or pdf data including data medium (not CD or DVD-only USB) or alternatively, you can also submit your files (if the size of file is not big) via email: July 4, 2025.
    • Final presentation: which will be held July 11, 2025, room: 00/0250 (Dekanatssitzungszimmer FB02), Universitätsstraße 25

  • Minimum requirements for passing the Studienleistung (intermediate presentation, not graded component of the seminar)

    • Data cleaning and preparation must be accomplished.

    • A (rolling) time series of Hedge Ratios and Hedge Effectiveness must be calculated.

    • Additional individual requirements might be imposed by your respective supervisor.
    • A failed mid-term presentation will lead to a fail grade for the exam.

  • References

    • Further readings will be provided by the supervisor if necessary.