FIN 660 Quantitative Risk Management

Information on FIN 660 in the spring semester 2022 can be found here.

Contact person for Quantitative Risk Management

For further information please contact Markus Huggenberger.

Credit: Siegfried Herrmann

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.
Evaluation Results
Lecture: FS 2021, HS 2020, FS 2020, HS 2019, FS 2019, HS 2018, FS 2018, HS 2017, FS 2017, HS 2015, 2014, 2013
Exercise: FS 2021, HS 2020, FS 2020, HS 2019, FS 2019, FS 2018, FS 2017, FS 2016, HS 2015, FS 2015, 2014, 2013
Please note that last year's evaluation results are also available from the current ILIAS group.