|Lecturer||Dr. Markus Huggenberger|
|Credit Points||4 ECTS|
|Hours per week||2 hours|
|Language||English (fall), English (spring)|
|Grading||Written exam (45 min.)|
Contact person for Quantitative Risk Management
For further information please contact Markus Huggenberger.
After a successful completion of the course, students will be able to measure market and credit risks. They can calculate Value at Risk and Expected Shortfall for individual financial positions and for portfolios of financial instruments. Furthermore, they will understand the notion of credit value at risk and the most important credit risk models. Students will be familiar with methods used for a risk-based performance management and for capital allocation.
Recommended: The course requires a basic knowledge of probability theory and statistics. In addition, students should have participated in a master's course on investment and/
Lecture slides and exercise materials will be provided via ILIAS group FIN 660 Quantitative Risk Management (HWS 2019). The password required to join this group will be provided in the kick-off session.