Finanzmathematik IV / Quantitative Risk Management

Prof. Dr. Katharina Oberpriller, Georg Bollweg

Schedule and Venue

EventsDate/TimeRoom
Lectures
Prof. Dr. Katharina Oberprilller
Tue 10:00 - 12:00
Wed 10:00 - 12:00
B004
B005
Exercise
Georg Bollweg
Mon 10:00 - 12:00B004
Additional Exercises
Prof. Dr. Katharina Oberpriller
Thu 08:00 - 10:00B047
Final Exam18.07.24, 09:00 - 12:00B052
Resit ExamTBATBA

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) and Finanz- und Versicherungsmathematik (WP60).

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.