After successful completion of the course, students are able to classify different types of financial and actuarial risk, to simulate losses, to measure risks with standard methods, to outline the basics of dependency modeling and to analyze dependencies, to depict the fundamentals of Solvency II and Basel II / III, to implement quantitative methods for risk assessment and control and to model the relationships of assets and liabilities.

We consider different kinds of risk and their modelling, in particular market risk, credit risk, and operational risk. A major topic is the modelling of dependent defaults in a credit portfolio. Another topic is the application of Monte Carlo methods for risk management purposes.

The basic contents and concepts are presented by the head of the LVA and illustrated and discussed with the help of examples.

We have three written tests. Each test yields 0 to 16 points. After the course and BEFORE the next course you can take a volutary oral exam about the whole course. The oral exam yields -8 to +16 points.

Es gibt drei schriftliche Tests. Bei jedem Test sind 0 bis 16 Punkte möglich. Nach dem Ende der VU bis spätestens zum Beginn der nächsten VU können Sie eine mündliche Prüfung über den Gesamtstoff vereinbaren. Diese Prüfung wird mit -8 bis +16 Punkten bewertet. Grading is done according to the following table:

24-30 points: Genuegend 4
31-35 points: Befriedigend 3
36-41 point: Gut 2
more points: Sehr gut 1

In this course you should solve and discuss exercises at the blackboard. Blackboard activity is not considered for the evaluation, but is known to be the be the best preparation for the written tests.

• A.J. McNeil; R. Frey; P. Embrechts. Quantitative risk management. Concepts, techniques and tools. Revised Edition. Princeton University Press, Princeton, NJ, 2015.
• John Hull, Risk Management and Financial Institutions, Wiley, Hoboken, NJ, 2012.