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
• M.Sc. Computer Science
• M.Sc. Mathematics

When studying M.Sc. Business Mathematics, this module can be attended in the study area Specialization and Practical Modules in Mathematics.

The module can also be used in other study programs (export module).

The module is assigned to Applied Mathematics. Further information on eligibility can be found in the description of the study area.