Workgroup Financial Mathematics

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Finanzmathematik IV

Prof. Dr. Thilo Meyer-Brandis, Martin Bauer, Daniel Ritter

Schedule and Venue

Prof. Dr. Thilo Meyer-Brandis

Tue  10:00-12:00 

Wed 10:00-12:00

B 006

B 006

Martin Bauer, Daniel Ritter

Wed 08:30 - 10:00

B 004

Final Exam



Retake 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. Exercises marked with a star (*) will be valid for a bonus system for the final exam. This exercise can be handed in for correction, either in the next exercise class or in our offices B235/B236 before this class. 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 0.3/0.4 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.