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Seminar Quantitative Risk Management


Seminar "Quantitative Risk Management" (Prüfungsnummer 6401)

Veranstaltung für den Master (T Modul)

Start 10.04.2017      

6 ECTS ---> seminar paper and presentation (T-Modul)


Registration will be announced in the lecture on ...............


Deadline for the seminar paper ---> to be announced

Presentation ---> to be announced


List of topics:

1. Different Approaches to Risk Measurement
     - Loss Distributions

     - Value at Risk

     - Expected Shortfall

2. Regression Analysis

3. Autoregressive Moving-Average Models

4. Generalized Autoregressive Conditional Heteroscedasticity

5. RiskMetrics

6. CreditMetrics



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