Workgroup Financial Mathematics

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Finanzmathematik IV

Prof. Dr. Maren Schmeck, Jacopo Mancin, Yinglin Zhang

Schedule and Venue


Prof. Dr. Maren Schmeck

Tue 10:00-12:00

Wed 10:00-12:00

Additional Lectures

Mon 11.07.2016  10.00-12.00

Fri 23.09.2016    10.00-12.00

B 006

B 006


B 132

B 006


Jacopo Mancin

Wed 12:00 - 14:00

Supplementary Exercises (Test Exam)

Wed 06.07 12.00-14.00

Wed 06.07 16.00-18.00

B 006


B 006

B 051


Yinglin Zhang

Thu 16:00 - 17:30

Tutorial takes place every two weeks. Changes will be published here.

Next tutorial: 07.07.2016 (the last one)

B 046

Final Exam

Retake Exam

Wed 13.07.2016   10.30-12.30

Tue 27.09.2016    10.30-12.30

B 006

B 006

The results of the retake exam are available on the board in front of office B233. Reviewing the exam is possible on Friday 07.10.2016 in room B229, from 11.00 to 12.00.

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).


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 B236 before this class, and will be corrected. Each "star exercise" will be worth a certain number of points. Collecting at least 70% of the total points available during the whole semester will result, upon passing the exam, in a 0.3 bonus on the final note.

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.