Quantitative Risk Management
(dt. Quantitatives Risikomanagement)
|Level, degree of commitment in original study programme||Advanced module, compulsory elective module|
|Forms of teaching and learning,
|Lecture (3 SWS), recitation class (1 SWS) oder
lecture (2 SWS), recitation class (2 SWS), |
180 hours (60 h attendance, 120 h private study)
Course requirement: Successful completion of at least 50 percent of the points from the weekly exercises.
Examination type: Written or oral examination
|German,The grading is done with 0 to 15 points according to the examination regulations for study course M.Sc. Business Mathematics.|
|Original study programme||M.Sc. Wirtschaftsmathematik / Mathematische Vertiefungs- und Praxismodule|
|One semester, |
Regelmäßig im Wechsel mit anderen advanced moduleen
|Person in charge of the module's outline||Prof. Dr. Hajo Holzmann|
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.
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.
None. The competences taught in the following modules are recommended: either Foundations of Mathematics and Linear Algebra I and Linear Algebra II or Basic Linear Algebra, either Analysis I and Analysis II or Basic Real Analysis, Elementary Stochastics, Financial Mathematics I , Probability Theory, Internship Stochastics.
- 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.
This page describes a module according to the latest valid module guide in Wintersemester 2019/20. 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:
- WiSe 2016/17 (no corresponding element)
- SoSe 2018 (no corresponding element)
- WiSe 2018/19
- WiSe 2019/20
- WiSe 2020/21
- SoSe 2021
- WiSe 2021/22
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.