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Seminar Quantitative Risk Management


Seminar "Quantitative Risk Management" (Prüfungsnummer 6401)

Veranstaltung für den Master (T Modul + R Modul)

Dear Students, as you all might know there are no class meetings due to safety reasons, but we will continue our study online.
We will use the Zoom platform to provide our communication

Vorlesung Beginn 13.04.2021
Dienstag 14 - 16 Uhr Online synchron Viktoriia Petruk
Übung Beginn 15.04.2021      
Donnerstag 14 - 16 Uhr Online synchron Viktoriia Petruk

Lectures and tutorials will be recorded and published here on moodle.

Please note that all lectures and materials are ONLY for personal use and we kindly ask you not to share it.

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


Deadline for the seminar paper ---> end of June (to be announced)

Presentation ---> end of June (to be announced)


List of topics:

1. Basics of Statistics, Revision
(practice:) Introduction to R

2. Risk Management
(practice:) Introduction to R II, VaR & CVaR

3. Regression Analysis
(practice:) Linear Regression in R

4.Time Series Analysis (ARMA and GARCH processes)
(practice:) ARMA Modelling in R
(practice:) ARMA Modeling in R II

5. *Binomial Option Pricing



P. Embrechts, R. Frey and A.J. McNeil (2005) Quantitative Risk Management. Princeton University Press
D. Ruppert (2004) Statistics and Finance. Springer
C. Heuman, M.S. Shalabh (2017) Introduction to Statistics and Data Analysis: With Exercises, Solutions and Applications in R. Springer
R. Tsay (2005) Analysis of Financial Time Series. Wiley