Skip to main content Skip to navigation

Department of Statistics

Advanced Risk Management

Restrictions:

Commitment:

  • Lectures: 20 hours.
  • Seminars: 9 hours.
  • Project supervision: 1 hour per project group.

Content:

1 Multivariate Models

  • Basics of multivariate modelling
  • Multivariate normal and elliptical distributions
  • Normal mixture distributions
  • Dimension-Reduction techniques

2 Copulas and Dependence

  • Copulas
  • Dependence concepts and measures
  • Archimedian copulas
  • Fitting copulas to data

3 Market Risk

  • Risk Factors
  • Market Risk measurement
  • Backtesting

4 Credit Risk

  • Credit risk instruments
  • Measuring credit quality
  • Structural models
  • Hazard rate models

5 Selected Topics

  • Introduction to Systemic Risk
  • Value-at-Risk

Assessment:

  • Examination (60%)
  • Class test (20%)
  • Project (20%)

Illustrative Bibliography:

McNeil, A., R. Frey, and P. Embrechts (2015): “Quantitative Risk Management,” 2nd revised ed., Princeton Series in Finance, Princeton University Press

Hull, J.C. (2018): “Risk Management and Financial Institutions,” 5th ed., Wiley Finance Series, John Wiley & Sons

Examination Period: April