Quantitative Risk Management
Quantitative Risk Management [MA5415]
| Vortragende/r (Mitwirkende/r) | |
|---|---|
| Nummer | 0000004519 |
| Art | Vorlesung |
| Umfang | 2 SWS |
| Semester | Wintersemester 2017/18 |
| Unterrichtssprache | English |
| Stellung in Studienplänen | Siehe TUMonline |
| Termine | Siehe TUMonline |
Termine
Teilnahmekriterien
Beschreibung
Basic concepts in Risk Management,
Basel II and Solvency II,
risk measures: examples and discussions,
multivariate models: dependence modelling, normal and normal mixture models, copulas,
simple dimension reduction methods,
extreme value theory.
Basel II and Solvency II,
risk measures: examples and discussions,
multivariate models: dependence modelling, normal and normal mixture models, copulas,
simple dimension reduction methods,
extreme value theory.
Inhaltliche Voraussetzungen
MA1401 Introduction to Probability Theory, MA2003 Measure and Integration, MA2402 Basic Statistics, MA2409 Probability Theory
Lehr- und Lernmethoden
Solve exercises, theoretical and practical (Matlab/R programming)
Links
Exercises for Quantitative Risk Management [MA5415]
| Vortragende/r (Mitwirkende/r) | |
|---|---|
| Nummer | 0000004518 |
| Art | Übung |
| Umfang | 1 SWS |
| Semester | Wintersemester 2017/18 |
| Unterrichtssprache | English |
| Stellung in Studienplänen | Siehe TUMonline |
| Termine | Siehe TUMonline |