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Finanzmathematik IV / Quantitative Risk Management

Prof. Dr. Lukas Gonon, Niklas Walter

Schedule and Venue

Prof. Dr. Lukas Gonon

1st lecture / question time :  Tue  10:00 - 12:00

Lecture videos (4 h / week)


Niklas Walter

Wed 08:00 - 10:00


Final Exam



Updates, material, etc. will be organized via moodle ( Please send an email with subject "Fima 4" and with your "" email address to in order to sign up for the course on moodle.

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.


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 to the regarding Moodle page.

Final Exams

Further information will follow.