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Seminar in Quantitative Finance

 

 

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organized by Dr. Jonathan Ansari

 

In this seminar, we will discuss various topics of the book "Quantitative Risk Managements - Concepts, Techniques, and Tools" by A. McNeil, R. Frey, and P. Embrechts (2015, revised edition).

Risk encountered in the financial industry can be divided into several types of risk. Two important types are market risk and credit risk, with market risk being the risk of a change in the value of a finanical position or portfolio due to changes in the value of the underlyings and with credit risk resulting from losses due to defaults.

The seminar topics will be based on the following chapters:

- Risk in perspective

- Basic concepts in risk management

- Extreme value theory

- Multivariate models

- Copulas and Dependence

- Market Risk

- Credit Risk

A strong mathematical background is appreciated. For some of the topics, the contents of the lecture "Probability Theory for Economics and Finance" are necessary.

For a better display of formulas, preparing the slides and the manuscript with "LaTeX" is advantageous.


 

 

Dates

Introduction and Distribution of Topics:

Thursday, April 28, 2022, 12-2 pm, Breisacher Tor, room 201

Participation in the introductory session is mandatory. Not showing up will be regarded as withdrawal from the seminar. 

Block: June 2 - July 15, 2022

Thursdays, 12-2 pm (Breisacher Tor, room 201)

Fridays, 10-12 am (Breisacher Tor, room 201)


No session on June 9 and 10!


The seminar will take place in class.                                                            

First meeting

April 28, 2022

LanguageEnglish
 
Prerequisites

Probability Theory for Economics and Finance for some topics.

Futures & Options and Mathematical Methods for Economis and Finance are helpful for some topics.

ECTS6
 
Application

Participation in the seminar is limited. Please apply by

April 20, 2022 here.

Please send us the following information:

  • Course of studies/ Year of Studies
  • Matriculation number
  • current transcript of records
     
Assessment      

Presentation (oral and written composition), active participation

ILIAS

Course materials will be available on ILIAS. The password necessary to register for the course on ILIAS will be announced in the first lecture!

The book "Quantitative Risk Managements - Concepts, Techniques, and Tools" by A. McNeil, R. Frey, and P. Embrechts (2015, revised edition) is available in the libraries in limited numbers.
 

Credit

The seminar can be credited as follows:

  • Im M.Sc. Economics in der Profillinie "Finance";
  • Im M.Sc. VWL (PO 2014) in "Accounting, Finance, and Taxation"
Literature
  • "Quantitative Risk Managements - Concepts, Techniques, and Tools" by A. McNeil, R. Frey, and P. Embrechts (2015, revised edition)

Further literature will be announced in the course.

 

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