4459 S22 Quantitative Risk Management in Banking and Finance
Jana Hlavinova, Ph.D.
Contact details
Weekly hours
Language of instruction
02/01/23 to 02/19/23
Registration via LPIS
Notes to the course
Subject(s) Master Programs
Day Date Time Room
Tuesday 05/02/23 09:00 AM - 12:00 PM D5.0.002
Tuesday 05/09/23 09:00 AM - 11:00 AM TC.4.01
Monday 05/15/23 01:00 PM - 03:00 PM D3.0.233
Tuesday 05/16/23 09:00 AM - 11:00 AM TC.2.02
Monday 05/22/23 01:00 PM - 03:00 PM D3.0.233
Tuesday 05/23/23 09:00 AM - 11:00 AM TC.4.01
Tuesday 05/30/23 09:30 AM - 12:30 PM D5.0.002
Tuesday 06/06/23 09:00 AM - 11:30 AM TC.0.04
Monday 06/19/23 01:30 PM - 04:30 PM D3.0.233
Tuesday 06/20/23 02:00 PM - 05:00 PM TC.3.03


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

Learning outcomes

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.

Attendance requirements

For this course, attendance and engagement are essential. Therefore, it is a requirement to attend all units.
In individual and justified cases, it will be accepted to miss up to 20% of the courses upon prior notification of the lecturer.

Teaching/learning method(s)

The lecture will consist of impulse talks by the lecturer (on campus) 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.


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Recommended previous knowledge and skills

Good command of statistics and mathematics at the WU bachelor level


Selected topics of McNeil, Frey and Embrechts, Quantitative Risk Management, Princeton University Press (2015) and of the accompanying exercise book.

For statistical background we refer to the textbook Statistics by McClave and  Sinchich (Pearson).

A good reference for backtesting in finance is Nolde and Ziegel (2017, Annals of Applied Statistics), available at


Details will be announced during the course.

Last edited: 2023-04-21