Workgroup Financial Mathematics
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Finanzmathematik IV

Prof. Dr. Thilo Meyer-BrandisHannes Hoffmann


Schedule and Venue

Lectures
Prof. Dr. Thilo Meyer-Brandis

Tue 10:00-12:00

Thu 10:00-12:00

B 005

B 005

Exercises
Hannes Hoffmann

Supplementary Exercise

Wed 14:00 - 16:00

 

Mon 06.07.2015

10:00-14:00

B 005

 

QuantLab (B 121)

Final Exam


Retake Exam

Thu 16.07.2015

09:00-12:00

Thu 08.10.2015

10:30-13:30

B 005

 

B 005


Exam results

The retake exam results are now available in front of office B234.

Course Description

This course is an introduction into the theoretical concepts and modeling approaches of quantitative risk management.

The main topics are: Multivariate models, time series analysis, copulas and dependencies, risk aggregation, extreme value theory, credit risk management, operational risk and insurance risk theory.


References

McNeil, Frey, Embrechts: Quantitative Risk Management, Princeton University Press, 2005

For whom is this course?

Target Participants: Master students of Business Mathematics or Mathematics.

Pre-requisites:  Stochastik and Finanzmathematik I.

Applicable credits:  Students may apply the credits from this course to Masterprüfungen Mathematik (WP33) and Wirtschaftsmathematik (WP60).


Exercises

Correcting your answers and thinking through the exercises is the best preparation for the exam.

Exercise Handouts: Problem sheets will be uploaded at the bottom of this page during the course.


Final Exams

The exam is a 120 minutes written exam. In order to participate in the retake exam you have to participate in the first exam or to hand in a doctors's certificate.