Finanzmathematik IV / Quantitative Risk Management
Prof. Dr. Lukas Gonon, Niklas Walter
Schedule and Venue
Lectures Prof. Dr. Lukas Gonon |
1st lecture / question time : Tue 10:00 - 12:00 Lecture videos (4 h / week) |
digital |
Exercises |
Wed 08:00 - 10:00 |
digital |
Final Exam |
TBA |
TBA |
Course Description
This course is an introduction into the theoretical concepts and modeling approaches of quantitative risk management.
The first part of the course covers various methods from probability and statistics to model market, credit and operational risk. This includes multivariate models, dimension reduction techniques, copulas and dependence modeling, risk aggregation, credibility and insurance risk theory. The second part of the lecture then
focuses on portfolio allocation and stochastic optimal control.
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).
Exercises
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 to the regarding Moodle page.
Final Exams
Further information will follow.