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 quantitative 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

5. (Time permitting) Backtesting of risk measures

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.

Moreover, they will improve their presentation skills.

For this course, attendance and engagement are essential. Therefore, it is a requirement to attend all units. The mode of attendance depends on what will be possible in accordance with health and safety measures on campus. Hence, the term "attendance" may mean physical or online presence, depending on whether this course will be fully on campus, hybrid, or fully remote.
In individual and justified cases, it will be accepted to miss up to 20% of the courses upon prior notification of the lecturer.

The lecture will consist of impulse talks by the lecturer (either on campus or via MS Teams) at the scheduled lecture dates, self study, student presentations and the discussion of the solutions 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

Via email tobias.fissler@wu.ac.at