Chair of Financial Econometrics

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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, 11.04.2014.

Lecture and tutorial in English.



04.07.2014, at 10:30 !!!
: Lecture with guest speaker: Dr. Teo Jašic, Center of Competence Unternehmenssteuerung und Risikomanagement, msgGillardon AG. We strongly recommend your participation. The msGillardon AG, will also have a stand on our CEQURA Junior Research Workshop on 30.09.2014 at the Seidlvilla. The company regularly offers work study positions as well as theses.

Lecture with guest speaker: Mr. Frank Romeike, managing partner, RiskNET GmbH

Please find script, article and case study for this first lecture on the German website. The password will be given to you on Friday, 11.04., at the beginning of the lecture.


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 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.


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