DE / EN

FIN 660 Quantitative Risk Management

General Information

Lecturer Dr. Markus Huggenberger
Credit Points 4 ECTS
Hours per week 2 hours
Language English (fall), English (spring)
Grading Written exam (45 min.)

Schedule Autum 2019

  • Lecture/ Exercise, Tuesday, 12:00 - 13:30pm, O 148, first session September 03th, 2019
Dr. Markus Huggenberger

Dr. Markus Huggenberger

Contact person for Quantitative Risk Management

For further information please contact Markus Huggenberger.

    Course Structure

  • Subject

    This course deals with quantitative methods for the management of market and credit risks. In addition, it covers risk-based performance management. 

     

  • Objectives

    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. 

     

  • Requirements

    Formal: none

    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/or derivatives.

  • Lecture Materials

    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.

     

  • Evaluation Results

    Please note that last year's evaluation results are also available from the current ILIAS group.