Syllabus
Registration via LPIS
| Day | Date | Time | Room |
|---|---|---|---|
| Monday | 10/05/20 | 01:30 PM - 05:00 PM | Online-Einheit |
| Monday | 10/12/20 | 01:30 PM - 05:00 PM | Online-Einheit |
| Monday | 10/19/20 | 01:30 PM - 05:00 PM | Online-Einheit |
| Monday | 11/02/20 | 01:30 PM - 05:00 PM | Online-Einheit |
| Monday | 11/09/20 | 01:30 PM - 05:00 PM | Online-Einheit |
| Monday | 11/16/20 | 01:30 PM - 05:00 PM | Online-Einheit |
| Thursday | 11/26/20 | 01:30 PM - 05:00 PM | Online-Einheit |
| Thursday | 12/03/20 | 01:30 PM - 05:00 PM | Online-Einheit |
On this page:
- Contact details
- Procedure for the course when limited activity on campus
- Contents
- Learning outcomes
- Attendance requirements
- Teaching/learning method(s)
- Assessment
- Prerequisites for participation and waiting lists
- Recommended previous knowledge and skills
- Availability of lecturer(s)
- Other
- Readings
- Unit details
Distance mode (except for the exam)
The teaching will be a combination of self-reading (slides and the QRM book) and lecture casts (voice of slides videos) or live MS Teams classes. In the case of lecture cast videos, there will be Q&A sessions via MS Teams.
Homework can be uploaded on learn.
The exam is on campus. For those that cannot be present for the exam on campus for documented COVID related reasons, the exam will be an oral exam via MS Teams.
The course will cover the following topics:
- Introduction to QRM: regulatory background, valuation and losses, loss distributions and mapping, risk measures, stylized facts of time series
- Dependence modelling and integrated risk management: multivariate distributions, copulas, risk aggregation and capital allocation
- Systemic risk and the quantification of systemic risk.
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.
- 1st Home assignments (7.5%)
- 2nd Home assignments (7.5%)
- 3rd Home assignments (7.5%)
- 4th Home assignments (7.5%)
- Final Exam (70%)
- 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
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