This lecture gives an introduction to Quantitative Risk Management with a special focus on applications in banking and finance.

We will cover the following topics

1. Risk in perspective  (Introduction to financial risk rmanagement)

2. Basic concepts in quantitative risk management: Risk factors and loss distributions, valuation methods, risk measures in particular value at risk and expected shortfall, coherent risk measures

3. Statistical toolkit: stylized facts for financial time series, models for stochastic volatility (GARCH), models for multivariate risks

4. Market risk models: mapping of interest rate models; market risk with stochastic volatility; backtesting

5. (Time permitting) Introduction to credit risk

After completion of this lecture students are

• familiar with the basic issues in quantitative financial risk management
• familiar with different risk measures and their properties
• able to apply basic statistical methods to risk management problems
• able to understand and evaluate different approaches for measuring market and credit risk

Moreover, they will improve their presentation skills

to be determined

The lecture will consist of   impulse talks by the lecturer via MS Teams at the scheduled lecture dates (max 90 min incl a short break ), self study, student presentation  and the solution of assignments;

3 Take-home assignments (to be solved in groups of 4) , a presentation (again in groups of 4)  and a final exam (written or oral, that is yet to be fixed). The weight of the individual components is 30% assignments, 20% presentation, 50% final. A reasonable performance in the final (more than 40% of the points)  is necessary for passing the lecture

Good command of statistics and mathematics at the WU bachelor level

ruediger.frey@wu.ac.at