[Economics] Risk Management
General information |
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| 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 |
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| Study level | Master |
| Also possible for | |
Information about credit points, evaluation and frequency |
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| ECTS | 5 |
| Evaluation | Written or oral examination |
| Frequency | Winter term |
Information about teaching language |
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| Teaching language | English |
| Minimum language requirement | B1 |
| Further information on the teaching language | Better B2-C1 |
Information about requirements |
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| Recommended requirements | Knowledge in Stochastic, Analysis, linear Algebra |
Information about course content, reading list and additional information |
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| 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 | |