Lecturer: Dr. O. Grothe
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Course number
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1337 (lecture), 1340 (tutorial)
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Location/Room
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Room 310 (lecture and tutorial)
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Time
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Wednesdays 10:00-11:30 am (lecture)
Wednesdays 02:00-03:30 pm (tutorial)
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Credit Points
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6 P
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Type of course
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Lecture and integrated tutorial
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Course Language
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English
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Objectives
Students learn ... how to model
quantitative risks how to estimate risks
based on previous data how to model
dependence between different risk factors to understand
specific risk models and modeling approaches from the areas of market risk,
credit risk and operational risk.
Half of the course
will consist of exercises which include the computer-based application of the
learned techniques.
Prerequisites
Some knowledge of
statistics is required.
It is useful for
students to be familiar with basic terms of statistics (e.g. acquired through
attendance of the courses “Advanced Statistics I and II”) as well as competent
mathematical knowledge.
Relevance for study programmes
The course is for
all doctoral, diploma and master students of the faculty. Please consult the Master Course Catalogue page 222 (or the respective Diploma Catalugue) for further information. Contents
The course
provides an introduction to ….
Risk measures (value
at risk, expected shortfall)
Simulation techniques
Multivariate models:
elliptic distributions, copulas
Special modeling
approaches of quantitative risk management from the areas of market risk,
credit risk and operational risk.
Course-supporting
material is provided by Dr. Grothe.
Working requirements and assessment method
Two written exams (60 minutes) are offered. Active participation in the
tutorial is required.
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