330.238 Risk Model Management Canceled
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2018S, VU, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VU Lecture and Exercise

Aim of course

We develop a comprehensive model management approach for general risk models building on the fundamentals of cybernetic management processes. This process is consistently applied to the model-life-cycle of prototypical risk models in the field of credit and market risk. We elaborate in detail on the construction, calibration, and validation of these models.

Subject of course

- Risk modelling
- Model risk
- Risk model management (RMM)
- RMM of univariate credit risk models
- RMM of market risk portfolio models
- RMM of credit risk portfolio models

Additional information

There will be no lecture in SS 2018!

Lecturers

  • Lederer, Thomas

Institute

Examination modalities

- Classroom exams
- Group homework assignments

Course registration

Begin End Deregistration end
22.01.2018 00:00 09.04.2018 12:00 30.05.2018 12:00

Curricula

Study CodeObligationSemesterPrecon.Info
066 482 Mechanical Engineering - Management Mandatory elective
066 926 Business Informatics Mandatory elective
066 937 Software Engineering & Internet Computing Mandatory elective

Literature

No lecture notes are available.

Language

English