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Risk Management

Lecture (Mittnik) and Tutorial (Groll):

Friday 10 a.m. - 4 p.m., Ludwigstr. 33/I, Room 144 (Seminarraum)

The lecture starts on Friday, April 19, 2013.

Lecture and tutorial in English.

 

News:  Please note that tomorrow, Friday, 12.07.2013, the lecture Financial Econometrics: Risk Management will start at 10:45 a.m.

Topics

The lecture deals with the basic concept of common financial market risks.

  • market risk
  • credit risk
  • operational risk

Methods ot financial econometrics which are used in risk management will be taught in particular.

A number of practioners will participate in this lecture.

Scripts

Scripts for the lecture as well as excercise sheets can be found on the the German website. For some of the scripts you need the password, given to you during the first tutorial.


Target group: Advanced bachelor and master students in BWL, VWL, statistics, mathematics and computer science.

Prerequisites: Solid knowledge in mathematics (analysis und linear algebra), basic knowledge in econometrics (econometrics I) or statistics (linear models).

Record of achievement: 6 ECTS-Credits or "Schein" for passing a written exam at the end of the term.

Literature:

  • McNeil, A. J., Frey, R., Embrechts, P.: Quantitative Risk Management. Princeton University Press, 2005.
  • Handouts

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