Finanzmathematik IV / Quantitative Risk Management
Prof. Dr. Katharina Oberpriller, Georg Bollweg
Schedule and Venue
| Events | Date/Time | Room |
|---|---|---|
| Lectures Prof. Dr. Katharina Oberprilller | Tue 10:00 - 12:00 Wed 10:00 - 12:00 | B004 B005 |
| Exercise Georg Bollweg | Mon 10:00 - 12:00 | B004 |
| Additional Exercises Prof. Dr. Katharina Oberpriller | Thu 08:00 - 10:00 | B047 |
| Final Exam | 18.07.24, 09:00 - 12:00 | B052 |
| Resit Exam | TBA | TBA |
Updates, material, etc. will be organized via moodle. In case of doubt, the information on moodle is correct. Please register to the corresponding Moodle page using the key "QRM2024".
This course is an introduction into the theoretical concepts and modeling approaches of quantitative risk management.
The first part of the course covers various methods from probability and statistics to model market, credit and operational risk. This includes multivariate models, dimension reduction techniques, copulas and dependence modeling, risk aggregation, credibility and insurance risk theory. The second part of the lecture then
focuses on portfolio allocation and stochastic optimal control.
McNeil, Frey, Embrechts: Quantitative Risk Management, Princeton University Press, 2005
Target Participants: Master students in Financial and Insurance Mathematics or Mathematics.
Pre-requisites: Stochastik and Finanzmathematik I.
Applicable credits: Students may apply the credits from this course to Masterprüfungen Mathematik (WP33 in PO2011, WP28 in PO2021) and Finanz- und Versicherungsmathematik (WP60 in PO2011, WP8 in PO2019/PO2021). In case of doubts, please contact the examination office.
Correcting your answers and thinking through the exercises is the best preparation for the exam. Please try to solve every problem sheet.
Exercise Handouts: Problem sheets will be uploaded to the regarding Moodle page.
Further information will follow.