Finanzmathematik IV / Quantitative Risk Management
Prof. Dr. Katharina Oberpriller, Julia Karczewski
Schedule and Venue
| Events | Date/Time | Room |
|---|---|---|
| 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 - 10:00 | B 004 |
| Additional Exercise Prof. Dr. Katharina Oberpriller | Thur 8:30 - 10:00 | B 132 |
| Exam | TBA | TBA |
| Retake Exam | TBA | TBA |
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.