Mathematical Finance 1000-1D11MF
Seminar main topics:
1. The applications of Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) in risk management. Coherent and convex risk measures. The connections between the theory of risk measures and actuarial mathematics.
2. The applications of copula theory in financial and actuarial mathematics.
3. Credit risk management.
4. The applications of extreme value theory in financial and actuarial mathematics.
5. Portfolio analysis.
The subcjects of master theses will be theoretical as well as practical.
Type of course
Bibliography
References will be given at the first meeting.
Additional information
Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:
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