This course is an introduction into the theoretical concepts and modeling approaches of quantitative risk management.
The first part of the course covers various methods from probability and statistics to model market, credit and operational risk. This includes multivariate models, dimension reduction techniques, copulas and dependence modeling, risk aggregation, redibility and insurance risk theory. The second part of the lecture then
focuses on portfolio allocation and stochastic optimal control.
- Trainer/in: Lukas Gonon
- Trainer/in: Niklas Walter