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This entry is from Summer semester 2021 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): Successful completion of at least 50 percent of the points from the weekly exercises. Examination type: Written or oral examination |
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
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.
Applicability
The module 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. Business Mathematics, this module can be attended in the study area Applied Modules in Business Mathematics.
The module can also be used in other study programs (export module).
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 2021. 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.