Finanzökonometrie: Risk Management

Lectures (S. Mittnik) and exercises (C. Groll)

Fridays, 10:00 - 14:00 c.t., Schellingstraße 3, room S 004

Lectures and exercises alternating (see below: planed schedule). First lecture will be Friday, 17.04.2015. Both lectures and exercises will be held in English.

News

• The room has changed to Schellingstraße 3, room S 004!

Introduction to git

• time: 27.4.2015, 17:00 - 20:00 Uhr
• location: Seminarraum, Raum 144, Luwigstr. 33/I
• slides: http://cgroll.github.io/research_tools/output/git.slides.html

 

Topics

The course revolves around basic concepts of the most general types of financial risks:

• market risk
• credit risk
• operational risk

Intended audience: Advanced bachelor and master students of statistics, mathematics, informatics, economics and business administration.

Prerequisites: Solid mathematical foundations (analysis and linear algebra), basic knowledge in econometrics and statistics.

Certification: Exam at the end of the term, 6 ECTS credits.

Course information

All relevant material and information regarding the course can be accessed through Moodle.

Instructions on how to log in to Moodle can be found here.

The password required to enroll into the Moodle course will be announced in lectures and exercises.

 

Slides: exercises

Html version:

• Introductory slides
• VaR and ES
• Market risk: univariate loss distribution - slides
• Market risk: univariate loss distribution - html notebook
• Functions of random variables

Pdf version:

• Introductory slides
• VaR and ES
• Functions of random variables
• VaR and ES: multi-dimensional case
• Copula introduction
• Credit risk

You can also run the Julia examples with JuliaBox:

• download git repository into JuliaBox (screenshot)
• select respective notebook (screenshot)

 Planned schedule: (changes possible!)

 

Exam:

Date: 23.07.2015

Time: 16:00

Location: Theresienstr. 39, B052

Duration: 120 minutes

Zulässige Hilfsmittel: ein nicht programmierbarer Taschenrechner, und ein beidseitig und handschriftlich beschriebenes DIN A4 Blatt. Das Formelblatt darf dabei ausschließlich Formeln beinhalten - das Abschreiben ganzer Übungsaufgaben und Herleitungen ist nicht erlaubt, und wird als Unterschleif gewertet. Desweiteren muss die Formelsammlung in einer Klarsicht Schutzfolie sein, und zusammen mit der Klausur abgegeben werden.

Zur Identifikation bitte Personalausweis und Studentenausweis mitnehmen!

Permitted writing aids: a not programable calculator, as well as a handwritten DIN A4 crib sheet with formulas on both sides. Your crib sheet may contain only formulas - transcribing complete exercises and derivations is not allowed, and will be classified as attempted fraud. Furthermore, the crib sheet has to be kept in a transparent plastic folder (in German: Klarsichthülle), and needs to be handed in together with the exam.

Please bring ID card and student card for identification!

Literatur

• McNeil, A. J., Frey, R., Embrechts, P.: Quantitative Risk Management. Princeton University Press, 2005.
• Handouts