105.101 Quantitative methods in risk management
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2009W, VU, 3.0h, 4.5EC

Properties

Semester hours: 3.0
Credits: 4.5
Type: VU Lecture and Exercise

Aim of course

The aim is to get an overview of quantitative methods in risk management, and to apply those methods in concrete examples.

Subject of course

We consider different kinds of risk and their modelling, in particular market risk, credit risk, and operational risk. A main topic is the modelling of dependent defaults in a credit portfolio. Another topic is the application of Monte Carlo Simulation techniques for risk management purposes.

Lecturers

Hubalek, Friedrich

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Examination modalities

Vier kurze Uebungstests am 27.10, 17.11., 15.12., 26.1., mit je 5 Punkten. Das schlechteste Ergebnis (von vier!) wird gestrichen. Die Note ergibt sich dann: 15--14 Punkte, sehr gut (1), 13--12 Punkte, gut (2), 11--10 Punkte, befriedigend (3), 9--8 Punkte, genügend (4). Nach dem Semesterende kann eine mündliche Prüfung über den Gesamtstoff abgelegt werden, die -5 bis +5 Punkte zum Gesamtergebnis beiträgt. Kümmern Sie sich RECHTZEITIG um Ihre Punkte!!!

Course registration

Not necessary

Group Registration

Group	Registration From	To
QM	01.10.2009 00:00	15.10.2009 23:59

Curricula

Study Code	Obligation	Semester
033 205 Financial and Actuarial Mathematics	Mandatory	5. Semester
066 400 Mathematics	Mandatory elective
066 400 Mathematics	Mandatory elective
066 401 Statistics	Mandatory elective
066 401 Statistics	Mandatory elective
066 402 Mathematics in Science and Technology	Mandatory elective
066 402 Mathematics in Science and Technology	Mandatory elective
066 403 Mathematics in Economics	Mandatory elective
066 403 Mathematics in Economics	Mandatory elective
066 404 Mathematics in Computer Science	Mandatory elective
066 404 Mathematics in Computer Science	Mandatory elective
066 405 Financial and Actuarial Mathematics	Mandatory elective
066 405 Financial and Actuarial Mathematics	Mandatory elective
066 415 Actuarial Mathematics	Not specified
860 Technical Mathematics	Mandatory elective
860 Technical Mathematics	Mandatory elective
864 Mathematics for Natural Sciences	Mandatory elective
864 Mathematics for Natural Sciences	Mandatory elective
866 Economic Mathematics	Mandatory elective
866 Economic Mathematics	Mandatory elective
867 Statistics	Mandatory elective
867 Statistics	Mandatory elective
869 Mathematics in Computer Science	Mandatory elective
869 Mathematics in Computer Science	Mandatory elective
873 Finance and Actuarial Mathematics	Mandatory elective
873 Finance and Actuarial Mathematics	Mandatory elective

Literature

Alexander J. McNeil, Rudiger Frey, Paul Embrechts, Quantitative Risk Management: Concepts, Techniques, and Tools Princeton University Press 2005

Language

German