Quantitative Risk Management

What it is about

You learn basic probabilistic and statistical methods for assessing and modeling financial risks. By the end you can understand, derive and practically apply Risk Measures, Extreme-Value Methods and dependency models — especially in quantitative risk analysis scenarios.

What you will be able to do

• Understand basic concepts and ideas of Risk Measures
• Apply and estimate methods of extreme value theory
• Model dependency structures using Copulas
• Assess market price risks with variance-covariance, Historical Simulation and Monte Carlo
• Use statistical tools such as quantile functions and empirical distributions

What the module consists of

• VorlesungConveying theoretical concepts, presentations and proofs
• ÜbungTheoretical and computer-oriented exercises for deepening and application

Teaching method

• Vorlesung mit Tafelbeweisen und Folienfor presenting the theory and derivations
• Übungen (theoretisch und computerbasiert)for practicing, deepening and applying in groups/under supervision
• Einsatz von Rfor practical implementation and simulations