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This entry is from Summer semester 2018 and might be obsolete. You can find a current equivalent here.
Quantitative Risk Management
(dt. Quantitatives Risikomanagement)
Level, degree of commitment | Specialization module, compulsory elective module |
Forms of teaching and learning, workload |
Lecture (3 SWS), recitation class (1 SWS) or
lecture (2 SWS), recitation class (2 SWS), 180 hours (60 h attendance, 120 h private study) |
Credit points, formal requirements |
6 CP Course requirement(s): Written or oral examination Examination type: Successful completion of at least 50 percent of the points from the weekly exercises. |
Language, Grading |
German,The grading is done with 0 to 15 points according to the examination regulations for the degree program M.Sc. Business Mathematics. |
Duration, frequency |
One semester, Regularly alternating with other specialization modules |
Person in charge of the module's outline | Prof. Dr. Hajo Holzmann |
Contents
The basic concepts and models of risk management are discussed, in particular
- Risk factors, conditional/unconditional loss distributions, risk measures
- risk aggregation, coherent risk measures, bounds on the aggregated risk
- Market risk, estimation of risk measures, backtesting
- Credit risk, Merton model, credit rating and migration, factor models and other statistical models.
Data examples and their analysis with R are treated as illustrations.
Qualification Goals
The students shall
- learn basic concepts of quantitative risk management, in particular for the financial industry,
- learn methods for estimating market risk and credit risk,
- be able to implement them with suitable software,
- improve their oral communication skills in the recitation class by practicing free speech in front of an audience and during discussion.
Prerequisites
Translation is missing. Here is the German original:
Keine. Empfohlen werden die Kompetenzen, die in den Basismodulen, im Aufbaumodul Elementare Stochastik, im Praxismodul Finanzmathematik I, im Vertiefungsmodul Wahrscheinlichkeitstheorie und im Praktikum zur Stochastik vermittelt werden.
Applicability
Module imported from M.Sc. Business Mathematics.
It can be attended at FB12 in study program(s)
- B.Sc. Mathematics
- B.Sc. Business Mathematics
- M.Sc. Computer Science
- M.Sc. Mathematics
- M.Sc. Business Mathematics
When studying M.Sc. Computer Science, this module can be attended in the study area Minor subject Mathematics.
Recommended Reading
- McNeil, A., Frey, R. und Embrechts, P. (2005), Quantitative Risk Management. Princeton Series in Finance.
- Bluhm, C., Overbeck, L., Wagner, C. (2002), Introduction to Credit Risk Modelling. CRC Press/Chapman Hall.
Please note:
This page describes a module according to the latest valid module guide in Summer semester 2018. Most rules valid for a module are not covered by the examination regulations and can therefore be updated on a semesterly basis. The following versions are available in the online module guide:
- Winter 2016/17
- Summer 2018
- Winter 2018/19
- Winter 2019/20
- Winter 2020/21
- Summer 2021
- Winter 2021/22
- Winter 2022/23
- Winter 2023/24
The module guide contains all modules, independent of the current event offer. Please compare the current course catalogue in Marvin.
The information in this online module guide was created automatically. Legally binding is only the information in the examination regulations (Prüfungsordnung). If you notice any discrepancies or errors, we would be grateful for any advice.