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.

2016S, 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 major topic is the modelling of dependent defaults in a credit portfolio. Another topic is the application of Monte Carlo methods for risk management purposes.

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Tue10:00 - 12:0001.03.2016 - 21.06.2016FH Hörsaal 3 - MATH .
Fri10:00 - 12:0008.04.2016 - 24.06.2016FH Hörsaal 3 - MATH .
Risk management in finance and insurance - Single appointments
DayDateTimeLocationDescription
Tue01.03.201610:00 - 12:00FH Hörsaal 3 - MATH .
Tue08.03.201610:00 - 12:00FH Hörsaal 3 - MATH .
Tue15.03.201610:00 - 12:00FH Hörsaal 3 - MATH .
Tue05.04.201610:00 - 12:00FH Hörsaal 3 - MATH .
Fri08.04.201610:00 - 12:00FH Hörsaal 3 - MATH .
Tue12.04.201610:00 - 12:00FH Hörsaal 3 - MATH .
Fri15.04.201610:00 - 12:00FH Hörsaal 3 - MATH .
Tue19.04.201610:00 - 12:00FH Hörsaal 3 - MATH .
Fri22.04.201610:00 - 12:00FH Hörsaal 3 - MATH .
Tue26.04.201610:00 - 12:00FH Hörsaal 3 - MATH 1st Test
Fri29.04.201610:00 - 12:00FH Hörsaal 3 - MATH .
Tue03.05.201610:00 - 12:00FH Hörsaal 3 - MATH .
Fri06.05.201610:00 - 12:00FH Hörsaal 3 - MATH .
Tue10.05.201610:00 - 12:00FH Hörsaal 3 - MATH .
Fri13.05.201610:00 - 12:00FH Hörsaal 3 - MATH .
Fri20.05.201610:00 - 12:00FH Hörsaal 3 - MATH 2nd Test
Tue31.05.201610:00 - 12:00FH Hörsaal 3 - MATH .
Fri03.06.201610:00 - 12:00FH Hörsaal 3 - MATH .
Tue07.06.201610:00 - 12:00FH Hörsaal 3 - MATH .
Fri10.06.201610:00 - 12:00FH Hörsaal 3 - MATH .

Examination modalities

We have three written tests. Each test yields 0 to 16 points. After the course and BEFORE the next course you can take a volutary oral exam about the whole course. The oral exam yields -8 to +16 points.

Es gibt drei schriftliche Tests. Bei jedem Test sind 0 bis 16 Punkte möglich. Nach dem Ende der VU bis spätestens zum Beginn der nächsten VU können Sie eine mündliche Prüfung über den Gesamtstoff vereinbaren. Diese Prüfung wird mit -8 bis +16 Punkten bewertet. Grading is done according to the following table:

24-30 points: Genuegend 4
31-35 points: Befriedigend 3
36-41 point: Gut 2
more points: Sehr gut 1

In this course you should solve and discuss exercises at the blackboard. Blackboard activity is not considered for the evaluation, but is known to be the be the best preparation for the written tests.

 

Course registration

Begin End Deregistration end
01.02.2016 00:00 06.03.2016 23:59 27.03.2016 23:59

Curricula

Study CodeObligationSemesterPrecon.Info
033 205 Financial and Actuarial Mathematics Mandatory6. Semester
066 405 Financial and Actuarial Mathematics Mandatory elective
860 GW Optional Courses - Technical Mathematics Not specified

Literature

  • A.J. McNeil; R. Frey; P. Embrechts. Quantitative risk management. Concepts, techniques and tools. Revised Edition. Princeton University Press, Princeton, NJ, 2015.
  • John Hull, Risk Management and Financial Institutions, Wiley, Hoboken, NJ, 2012.

 

Language

German