Finanzmathematik IV / Quantitative Risk Management

Prof. Dr. Katharina Oberpriller, Julia Karczewski

Schedule and Venue

EventsDate/TimeRoom
Lectures
Prof. Dr. Katharina Oberpriller
Tue 10:15 - 11:45
Wed 10:15 - 11:45
B 006
B 005
Exercise
Julia Karczewski
Wed 8:30 - 10:00B 004
Additional Exercise
Prof. Dr. Katharina Oberpriller
Thur 8:30 - 10:00B 132
Exam
TBATBA
Retake ExamTBATBA

The course is organised via Moodle. If you wish to participate, please sign up by sending an E-mail from your LMU E-mail address to Julia Karczewski.

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.