- This is an elective module for the MSc in Mathematical Finance.
- Not available to undergraduate students.
- Lectures: 20 hours.
- Seminars: 9 hours.
- Project supervision: 1 hour per project group.
1 Multivariate Models
- Basics of multivariate modelling
- Multivariate normal and elliptical distributions
- Normal mixture distributions
- Dimension-Reduction techniques
2 Copulas and Dependence
- Dependence concepts and measures
- Archimedian copulas
- Fitting copulas to data
3 Market Risk
- Risk Factors
- Market Risk measurement
4 Credit Risk
- Credit risk instruments
- Measuring credit quality
- Structural models
- Hazard rate models
5 Selected Topics
- Introduction to Systemic Risk
- Examination (60%)
- Class test (20%)
- Project (20%)
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