105.603 Risk management in finance and insurance
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2013S, VU, 4.0h, 6.0EC

Properties

  • Semester hours: 4.0
  • Credits: 6.0
  • 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
Tue10:00 - 12:0005.03.2013 - 25.06.2013FH Hörsaal 3 - MATH .
Fri11:30 - 13:3008.03.2013Hörsaal 6 - RPL Risikomanagement im Finanz- und Versicherungswesen
Fri11:00 - 13:0015.03.2013HS 11 Paul Ludwik Risikomanagement im Finanz- und Versicherungswesen
Fri10:00 - 12:0012.04.2013 - 28.06.2013FH Hörsaal 3 - MATH .
Risk management in finance and insurance - Single appointments
DayDateTimeLocationDescription
Tue05.03.201310:00 - 12:00FH Hörsaal 3 - MATH .
Fri08.03.201311:30 - 13:30Hörsaal 6 - RPL Risikomanagement im Finanz- und Versicherungswesen
Tue12.03.201310:00 - 12:00FH Hörsaal 3 - MATH .
Fri15.03.201311:00 - 13:00HS 11 Paul Ludwik Risikomanagement im Finanz- und Versicherungswesen
Tue19.03.201310:00 - 12:00FH Hörsaal 3 - MATH .
Tue09.04.201310:00 - 12:00FH Hörsaal 3 - MATH .
Fri12.04.201310:00 - 12:00FH Hörsaal 3 - MATH .
Tue16.04.201310:00 - 12:00FH Hörsaal 3 - MATH .
Fri19.04.201310:00 - 12:00FH Hörsaal 3 - MATH .
Tue23.04.201310:00 - 12:00FH Hörsaal 3 - MATH .
Fri26.04.201310:00 - 12:00FH Hörsaal 3 - MATH .
Tue30.04.201310:00 - 12:00FH Hörsaal 3 - MATH .
Fri03.05.201310:00 - 12:00FH Hörsaal 3 - MATH .
Tue14.05.201310:00 - 12:00FH Hörsaal 3 - MATH .
Fri17.05.201310:00 - 12:00FH Hörsaal 3 - MATH .
Tue28.05.201310:00 - 12:00FH Hörsaal 3 - MATH .
Fri31.05.201310:00 - 12:00FH Hörsaal 3 - MATH .
Tue04.06.201310:00 - 12:00FH Hörsaal 3 - MATH .
Fri07.06.201310:00 - 12:00FH Hörsaal 3 - MATH .
Tue11.06.201310:00 - 12:00FH Hörsaal 3 - MATH .

Course registration

Begin End Deregistration end
01.02.2013 00:00 10.03.2013 23:59 10.03.2013 23:59

Curricula

Literature

  • A.J. McNeil; R. Frey; P. Embrechts. Quantitative risk management. Concepts, techniques and tools. Princeton Series in Finance. Princeton University Press, Princeton, NJ, 2005.
  • J. Hull: Options, futures and other derivatives, Pearson Prentice Hall, 7th edition, 2009 (also available in German: Optionen, Futures und andere Derivate. Pearson Studium, 7. Auflage, 2009).

 

Language

German