The course Risk Management consists of two parts. The first part covers the basics of probability theory, the characteristics of coherent, convex and spectral risk measures, the concept of risk mapping as well as the essentials of time series analysis and parameter estimation.

The second part covers common methods to measure market, credit and operational risk. Also modern concepts such as ARCH models, copulas and basics of extreme value theory are taught. Hence the course covers all concepts, that are successfully used for risk measurement.

Participants of the course Risk Management therefore acquire a basic understanding of mathematical concepts such as probability theory, measure theory, time series analysis and parameter estimation.

• Risk Management I: Concepts and Risk Measures (winter term)
• Risk Management II: Institutional Methods (summer term)

• Lecture
• Exercise