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. 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.

Full attendance is compulsory. This means that students should attend at least 80% of all lectures, at most one lecture can be missed.

 There will be classroom lectures and assignments for the participants.

• 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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birgit.rudloff@wu.ac.at