Workgroup Financial Mathematics

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Finanzmathematik IV

Prof. Dr. Francesca BiaginiThomas Reitsam

Schedule and Venue

Prof. Dr. Francesca Biagini

Tue  10:00 - 12:00 

Wed 10:00 - 12:00 

Room B 005

Room B 005

Thomas Reitsam

Wed 08:00 - 10:00

July 17th, Copula simulation

Room B 005

quantLab B 121

Supplementary Exercises
Thomas Reitsam

May 20th, 14:00 - 16:00

July 16th, 14:00 - 16:00

Room B 252

Room B 005

Final Exam

24.07.19, 08:30 - 11:45

Room B 005

Re-take Exam

07.10.19, 8:30 - 11:45

Room B 005

The review of the exam takes place on Friday, 11th October, 9:00 - 10.00, in room B 229. The grades will be published by pseudonym on Thursday before.

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 in Financial and Insurance Mathematics or Mathematics.

Pre-requisites:  Stochastik and Finanzmathematik I.

Applicable credits:  Students may apply the credits from this course to Masterprüfungen Mathematik (WP33) and Finanz- und Versicherungsmathematik (WP60).


Correcting your answers and thinking through the exercises is the best preparation for the exam. Please try to solve every problem sheet.

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

Final Exams

Further information will follow.