Quantitative Risk Management
Lecturer: Prof. Dr. Blanka Horvath
Quantitative Risk Management
| Lecturer (assistant) | |
|---|---|
| Number | 0000006068 |
| Type | lecture |
| Duration | 2 SWS |
| Term | Sommersemester 2022 |
| Language of instruction | English |
| Position within curricula | See TUMonline |
| Dates | See TUMonline |
Admission information
Description
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.
Prerequisites
MA1401 Introduction to Probability Theory, MA2003 Measure and Integration, MA2402 Basic Statistics, MA2409 Probability Theory
Teaching and learning methods
Solve exercises, theoretical and practical (Matlab/R programming)