Quantitative Risk Management
Lecturer: Prof. Dr. Matthias Scherer
Quantitative Risk Management [MA5415]
| Vortragende/r (Mitwirkende/r) | |
|---|---|
| Nummer | 0000006068 |
| Art | Vorlesung |
| Umfang | 2 SWS |
| Semester | Sommersemester 2021 |
| Unterrichtssprache | Englisch |
| Stellung in Studienplänen | Siehe TUMonline |
| Termine | Siehe TUMonline |
Termine
- 13.04.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 20.04.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 27.04.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 04.05.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 11.05.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 18.05.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 01.06.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 08.06.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 15.06.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 22.06.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 29.06.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 06.07.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
- 13.07.2021 12:15-13:45 Online: Videokonferenz / Zoom etc.
Teilnahmekriterien
Lernziele
At the end of the module students understand the basics of the trade of a financial risk manager. They know and understand the most important models and can apply methods used in the financial and insurance world to assess and evaluate risk. They are also able to do relevant data analyses and perform simple simulation studies. In particular, they are able to estimate VaR (Value at Risk) and Expected Shortfall (ES) in different realistic situations.
Beschreibung
Basic concepts in Risk Management,
Basel II and Solvency II,
risk measures: examples and discussions,
multivariate models: dependence modelling, normal and normal mixture models, copulas,
simple dimension reduction methods,
extreme value theory.
Basel II and Solvency II,
risk measures: examples and discussions,
multivariate models: dependence modelling, normal and normal mixture models, copulas,
simple dimension reduction methods,
extreme value theory.
Inhaltliche Voraussetzungen
MA1401 Introduction to Probability Theory, MA2003 Measure and Integration, MA2402 Basic Statistics, MA2409 Probability Theory
Lehr- und Lernmethoden
Solve exercises, theoretical and practical (Matlab/R programming)
Studien-, Prüfungsleistung
Final written exam
Empfohlene Literatur
McNeil, A.J., Frey, R. and Embrechts, P. (2005): Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press.
Carmona, R. (2004): Statistical Analysis of Financial Data in S-Plus, Springer, New York.
Glasserman, P. (2004): Monte Carlo Methods in Financial Engineering, Springer, New York.
Carmona, R. (2004): Statistical Analysis of Financial Data in S-Plus, Springer, New York.
Glasserman, P. (2004): Monte Carlo Methods in Financial Engineering, Springer, New York.
Links
Exercises for Quantitative Risk Management [MA5415]
| Vortragende/r (Mitwirkende/r) | |
|---|---|
| Nummer | 0000006067 |
| Art | Übung |
| Umfang | 1 SWS |
| Semester | Sommersemester 2021 |
| Unterrichtssprache | Englisch |
| Stellung in Studienplänen | Siehe TUMonline |
| Termine | Siehe TUMonline |
Termine
- 28.04.2021 14:00-16:00 Online: Videokonferenz / Zoom etc.
- 12.05.2021 14:00-16:00 Online: Videokonferenz / Zoom etc.
- 26.05.2021 14:00-16:00 Online: Videokonferenz / Zoom etc.
- 09.06.2021 14:00-16:00 Online: Videokonferenz / Zoom etc.
- 23.06.2021 14:00-16:00 Online: Videokonferenz / Zoom etc.
- 07.07.2021 14:00-16:00 Online: Videokonferenz / Zoom etc.