Workgroup Financial Mathematics

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Finanzmathematik IV

Prof. Dr. Francesca BiaginiYinglin Zhang, Thomas Reitsam

Schedule and Venue

Prof. Dr. Francesca Biagini

Tue  10:00-12:00 (18.7.17 in quantLab - Room B 121)

Wed 10:00-12:00 (19.7.17 in quantLab - Room B 121)

B 251

B 006

Thomas Reitsam

Wed 12:00 - 14:00

B 006

Yinglin Zhang

Next Tutorium: Jul 13, 2017, Thu 16:00 - 18:00
(Tutorium takes place every two weeks, changes will be announced here)

B 252

Supplementary Exercises
Jan Gairing

Tue (18.7.17) 10:00-12:00

Wed (19.7.17) 10:00 - 12:00

quantLab - B 121

Mock Exam

Tue 11.07.17,

B 005

Final Exam

Wed 26.07.17,

B 006

Re-take Exam

Thu 12.10.17,

B 005

Wednesday, 25.10.17, will be the last day to review the Re-take Exam.

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.


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).


Correcting your answers and thinking through the exercises is the best preparation for the exam. Please try to solve every problem sheet. One specific exercise in each problem sheet, marked with a star "*", will be valid for a bonus system for the final exam. This exercise can be handed in, either in the next exercise class or in my office B235 before this class, and will be corrected. Each "star exercise" will be worth a certain number of points (not necessarily the same). Collecting at least 75% of the total points available during the whole semester will result, upon passing the exam, in a 0.3 bonus on the final grade.

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

Final Exams

The exam is a 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.