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
Literature:
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