Econometric Risk Management in Finance

Econometric Risk Management in Finance

angeboten von Prof. Dr. A. Sevtap Kestel


Highly changing demand and supply structure in the market, in­creasing effect of glo­balization, economic fluctuations, environmental disasters are just some of the chal­lenges that economies have to con­sider. For these reasons Risk Management became one of the vital steps to be taken as an important part of the economic poli­cy. This course provides an overview on the risk management techniques, espe­cially, on fi­nance by using econometric and statistical techniques. The main parts of the course are quantitative analysis and the com­ponents of risks related to finan­cial mar­kets. The quantitative part contains characterizing random variables, linear trans­for­mation of random variables and their distributions, simulation technique, simu­lation of Markov processes and stochastic yields. Risk measures, their properties, VaR, CVaR methods, time varia­tion at risk to measure the risk, GARCH to measure the volatility will be shown. Correlation analyses using copula methods will be presented with examples from finance. Adjusted performance measures, risk and risk aversion with utility functions and expected values, stress testing and back testing. Risk manage­ment practices introduce the analyses of market, credit, operational and investment risk in general. Case studies discussing current examples of the lack of proper risk management in world-wide known companies in last decade constitute the appli­ca­tion part of the lecture which will be covered during the lectures and tutorials. The targets proposed will be achieved through the assignments and a term project to be submitted at the end of the semester.


  1. Risk management definition, steps and major techniques; risk aversion, utility and expectation, Jensen’s inequality, optimal insurance premium, utility theory
  2. Quantitative Analysis: Random variable, linear transformation of random variables, sum and portfolios of random variables and their distributions, Simulation tech­niques
  3. Risk Management practices: Market risk management, credit risk management, operational risk management, investment risk management, Basel II, Solvency II.
  4. Risk Measures, VaR, CVaR, Markov process, stochastic differential processes
  5. Risk adjusted performance measures, The mean-variance criterion, stress and backtesting
  6. Linear models, time variation at risk: GARCH, GLM, GAM
  7. Dependency measures: Copulas
  8. Case studies



November 6th - 9th, 2023

Monday, Nov. 6th


lecture hall 1228 KG I

Tuesday, Nov. 7th

8-10amlecture hall 1019 KG I
 12-2pmlecture hall 1019 KG I
Wednesday, Nov. 8th12-2pmlecture hall 1221 KG I
 4-6pmlecture hall 1199 KG I
Thursday, Nov. 9th12-4pmlecture hall 3219 KG III


January 15th - 19th, 2024

Monday, Jan. 15th1-5pmlecture hall 1132 KG I
Wednesday, Jan. 17th12-2pmroom 1 - Peterhof
 3-5pmroom 4 - Peterhof
Thursday, Jan. 18th12-4pmlecture hall 3219 KG III
Friday, Jan. 19th12-2pmlecture hall 1015 KG I



Intermediate Econometrics


Bewerbung &

Die Teilnehmerzahl für dieses Seminar ist beschränkt. Interessierte Studierende werden daher gebeten, sich bis

spätestens Montag, den 16.10.2023

per Mail bei unserem Sekretariat mit

  • CV,
  • aktueller Leistungsübersicht

zu bewerben.



Oral presentation and term paper



Die Seminarmaterialien werden auf ILIAS zur Verfügung gestellt. Das für den Zugang benötigte ILIAS-Passwort werden nach Seminarregistrierung per E-Mail versendet.


Die Vorlesung kann wie folgt angerechnet werden:

Im M.Sc. Economics in allen Profillinien. Studierende aus der Profillinie Finance werden mit Vorrang aufgenommen.

Im M.Sc. VWL kann die Vorlesung wie folgt angerechnet werden:

  • Accounting, Finance und Taxation,

  • Empirical Economics,

  • Business Analytics.

  • Investment Risk Management by Yen Yee Chong, John Wiley, 2004.
  • Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rüdiger Frey, Paul Embrechts, Princeton University Press, 2005.
  • Financial Risk Manager Handbook by Philippe Jorion, 6th Ed., John Wiley and Sons, 2009.
  • Risk Management and Financial Institutions, J. C. Hull 2015.  




Benutzerspezifische Werkzeuge