[Economics] Risk Management


General information

Course name Risk Management
Course type Lecture and Exercise
Course code math-riskman
Course coordinator Prof. Dr. rer. nat. Jan Kallsen
Faculty Faculty of Business, Economics and Social Sciences
Examination office Faculty of Business, Economics and Social Sciences
Short summary This course provides an introduction to quantitative risk management, the relevance of which has become apparent not only in the recent financial crisis.
The focus is on mathematical and statistical tools for modelling market and credit risk.

Information about study level

Study level Master
Also possible for  

Information about credit points, evaluation and frequency

Evaluation Written or oral examination
Frequency Winter term

Information about teaching language

Teaching language English
Minimum language requirement B1
Further information on the teaching language Better B2-C1

Information about requirements

Recommended requirements Knowledge in Stochastic, Analysis, linear Algebra

Information about course content, reading list and additional information

Course Content  
Reading list McNeil, Frey, Embrechts: Quantitative Risk Management, Princeton Univ. Press Embrechts, Klüppelberg, Mikosch: Modelling Extremal Events for Insurance and Finance Springer, Hult, Lindskog: Mathematical Modelling and Statistical Methods for Risk Management; Lecture Notes
Additional information