Syllabus

Title
6049 Y2E Quantitative Risk Management
Instructors
Dr. Tobias Fissler
Contact details
tobias.fissler@wu.ac.at
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
02/03/20 to 02/21/20
Registration via LPIS
Notes to the course
This class is only offered in summer semesters.
Subject(s) Master Programs
Elective - Quantitative Risk Management
Dates
Day Date Time Room
Tuesday 03/03/20 02:00 PM - 04:30 PM D4.0.127
Thursday 03/05/20 02:00 PM - 04:30 PM D4.0.127
Tuesday 03/10/20 02:00 PM - 04:30 PM D4.0.127
Tuesday 03/17/20 02:00 PM - 04:30 PM D4.0.127
Thursday 03/19/20 02:00 PM - 04:30 PM D5.1.002
Tuesday 03/31/20 02:00 PM - 04:30 PM D4.0.127
Thursday 04/02/20 02:00 PM - 04:30 PM D4.0.127
Tuesday 04/21/20 02:00 PM - 04:30 PM D4.0.127
Wednesday 04/29/20 09:30 AM - 12:00 PM D4.0.022

On this page:

to top
Contents

The course will cover the following topics:

  1. Introduction to QRM: regulatory background, valuation and losses, loss distributions and mapping, risk measures, stylized facts of time series
  2. Dependence modelling and integrated risk management: multivariate distributions, copulas, risk aggregation and capital allocation
  3. Backtests of risk measure estimates.
to top
Learning outcomes

After completing this class students will have the ability to critically evaluate existing quantitative methods for the management of financial risk.

During this course, students will become acquainted with the essential concepts, techniques, models and tools used in quantitative risk management with a focus on risk measurement and evaluating the quality of risk measurements. The course presents a structured overview as well as in-depth knowledge and understanding of certain approaches.

to top
Attendance requirements

recommended attendance min 80%.

to top
Teaching/learning method(s)

 There will be classroom lectures and assignments for the participants.

to top
Assessment
  • 1st Home assignments (12.5%)
  • 2nd Home assignments (12.5%)
  • 3rd Home assignments (12.5%)
  • 4th Home assignments (12.5%)
  • Final Exam (50%)
to top
Prerequisites for participation and waiting lists
  • Successful completion of Mathematics I and Financial Markets and Instruments
  • Successful completion of at least 42 ECTS credits from the first year compulsory common courses
to top
Readings
1 Author: McNeil / Frey / Embrechts
Title:

Quantitative Risk Management: Concepts, Techniques, and Tools

Publisher: Princeton University Press
Edition: Revised Edition
Remarks: Selected chapters (details at the beginning of the lecture)
Year: 2015
Content relevant for class examination: Yes
Recommendation: Essential reading for all students
Type: Book
2 Author: Natalia Nolde and Johanna F. Ziegel
Title:

Elicitability and Backtesting: Perspectives for Banking Regulation

Publisher: The Annals of Applied Statistics
Edition: Volume 11, Number 4
Remarks: Available at https://projecteuclid.org/euclid.aoas/1514430265
Year: 2017
Content relevant for class examination: Yes
Recommendation: Essential reading for all students
Type: Journal
to top
Recommended previous knowledge and skills
Successful completion of the first-year courses in the Master QFin.
to top
Availability of lecturer(s)

Individual office hours can be arranged via tobias.fissler@wu.ac.at

to top
Other

Last edited: 2020-04-22



Back