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.

- 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

Die Lehrveranstaltung findet im SS 2018 nicht statt!

- Classroom exams
- Group homework assignments