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Quantitative Risk Management
(dt. Quantitatives Risikomanagement)

Level, degree of commitment Specialization module, compulsory elective module
Forms of teaching and learning,
Lecture (3 SWS), recitation class (1 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 (individual examination)
The grading is done with 0 to 15 points according to the examination regulations for the degree program M.Sc. Business Mathematics.
One semester,
Regularly alternating with other specialization modules
Person in charge of the module's outline Prof. Dr. Hajo Holzmann


Basic concepts and statistical methods in risk management will be covered, in particular

  • risk measures
  • Risk factors, conditional/unconditional loss distributions and their modeling
  • Elliptical distribution and copulas
  • Time series analysis
  • backtesting
  • Credit risk, Merton model, credit rating and migration, models based on default times.

Data examples and their analysis using R will be covered as illustrations.

Qualification Goals

Students will

  • Know basic concepts of quantitative risk management, especially for the financial industry,
  • understand methods for estimating market risk as well as credit risk,
  • can implement these using the statistical software R,
  • have improved their oral communication skills in the exercises 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 Probability and Statistics, Financial Mathematics I, Probability Theory, Internship Stochastics.


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 Free Compulsory Elective Modules.

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

Recommended Reading

  • McNeil, A., Frey, R. und Embrechts, P. (2015), Quantitative Risk Management:
  • Concepts, Techniques and Tools - Revised Edition. Princeton Series in
  • Finance.

Please note:

This page describes a module according to the latest valid module guide in Winter semester 2023/24. 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:

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.