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# Quantitative Risk Management

## Quantitative Risk Management [MA5415]

Vortragende/r (Mitwirkende/r) 0000004519 Vorlesung 2 SWS Wintersemester 2017/18 Englisch Siehe TUMonline Siehe TUMonline

### Lernziele

At the end of the module students understand the basics of the trade of a financial risk manager. They know and understand the most important models and can apply methods used in the financial and insurance world to assess and evaluate risk. They are also able to do relevant data analyses and perform simple simulation studies. In particular, they are able to estimate VaR (Value at Risk) and Expected Shortfall (ES) in different realistic situations.

### 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.

### 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)

### Studien-, Prüfungsleistung

Final written exam

### Empfohlene Literatur

McNeil, A.J., Frey, R. and Embrechts, P. (2005): Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press. Carmona, R. (2004): Statistical Analysis of Financial Data in S-Plus, Springer, New York. Glasserman, P. (2004): Monte Carlo Methods in Financial Engineering, Springer, New York.

## Exercises for Quantitative Risk Management [MA5415]

Vortragende/r (Mitwirkende/r) 0000004518 Übung 1 SWS Wintersemester 2017/18 Englisch Siehe TUMonline Siehe TUMonline