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Finanzmathematik IV

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


Schedule and Venue

Lectures
Prof. Dr. Thilo Meyer-Brandis

Tue  12:00 - 14:00 

Thu  10:00 - 12:00

First Lecture: Tue 10.04.

B 005

B 005

Exercises
Martin Bauer, Daniel Ritter

Wed 08:30 - 10:00

First Exercise: Wed 11.04.

B 004

Q&A Session
Martin Bauer, Daniel Ritter

Thu 05.07. 16:00 - 20:00

B 101

Final Exam

Tue 10.07. 12:00 - 14:00

B 005

Retake Exam

Thu 11.10. 09:00-11:00

B 005


The results of the exam are now displayed opposite of room B233. You can review your exam on Friday, 13 July in room B236 between 11:00 and 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.


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. 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.


Final Exams

The exam is a written exam.