Risk Measures (FS 2018)

Lecturer

  • Prof. Dr. Johanna F. Ziegel

Date and Venue

  • Tuesday, 14 - 16 h, B78 (ExWi)
  • Start: Tuesday, February 20, 2018

Details

  • 3 ECTS credit points
  • Administrative information (Gefässe/blocks, registration for exam): KSL
  • Further information (contents, exercise series etc.): ILIAS

Contents

The course is an introduction to the mathematical theory of risk measures. It covers the following topics:

  • Value-at-risk
  • Monetary risk measures and acceptance sets
  • Diversification, convexity and coherence
  • Representation theorems
  • Expected shortfall
  • Law-determined risk measures
  • Distortions
  • Comonotonicity