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.

2010W, 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

Institute

Course dates

DayTimeDateLocationDescription
Tue12:45 - 15:1505.10.2010 - 27.01.2011FH Hörsaal 4 HUBALEK
Quantitative methods in risk management - Single appointments
DayDateTimeLocationDescription
Tue05.10.201012:45 - 15:15FH Hörsaal 4 HUBALEK
Tue12.10.201012:45 - 15:15FH Hörsaal 4 HUBALEK
Tue19.10.201012:45 - 15:15FH Hörsaal 4 HUBALEK
Tue09.11.201012:45 - 15:15FH Hörsaal 4 HUBALEK
Tue16.11.201012:45 - 15:15FH Hörsaal 4 HUBALEK
Tue23.11.201012:45 - 15:15FH Hörsaal 4 HUBALEK
Tue07.12.201012:45 - 15:15FH Hörsaal 4 HUBALEK
Tue14.12.201012:45 - 15:15FH Hörsaal 4 HUBALEK
Tue11.01.201112:45 - 15:15FH Hörsaal 4 HUBALEK
Tue18.01.201112:45 - 15:15FH Hörsaal 4 HUBALEK
Tue25.01.201112:45 - 15:15FH Hörsaal 4 HUBALEK

Examination modalities

Wegen des beliebten INSTITUTSPRUEFUNGSTERMINS am 23.11.2010 wird der 1.Test NOCHMALS VERSCHOBEN. Die Termine fuer den 2. und 3. Test bleiben gleich.

Die Note wird aus drei Uebungstests (NEUE TERMINE: 1.Test am 30.11.2010, 2. Test am 21.12.2010, 3.Test am 25.01.2011, alle Unterlagen erlaubt) und einer optionalen mündlichen Prüfung über den
Gesamtstoff am Semesterende ermittelt.
Pro Test werden bis zu 10 Punkte vergeben, wobei die Punkte des schlechtesten Test (von drei) GESTRICHEN werden. Die mündliche Prüfung bringt -5 bis +10 Punkte.
Notenschluessel: Mehr als 18 Punkte sehr gut, 16-18 Punkte gut, 15-13 Punkte
befriedigend, 12-10 Punkte genuegend.Kümmern Sie sich RECHTZEITIG um Ihre Punkte!!!

Course registration

Begin End Deregistration end
04.10.2010 08:00

Curricula

Study CodeObligationSemesterPrecon.Info
033 205 Financial and Actuarial Mathematics Mandatory5. 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