A lecture on

Risk Management for Financial Institutions

was offered in the winter term 2001/2002 at Humboldt-University. (Die Vorlesung heißt "Risikomanagement für Banken" im Vorlesungsverzeichnis.)

Aim

The lecture describes the mathematical and computational aspects of risk management in banks. It tries to

• give an overview of the practical problems, especially the computation of Value at Risk for regulatory capital and
• provide the background on the mathematical, statistical, and computational tools needed.

Here is a preliminary reading list.

Mathematical reasoning is presented on the blackboard, economic reasoning and facts on the overhead projector. The slides are available from here:

• PDF file for reading at the screen.
• Two-up PostScript file for printing.

(last updated: October 17, 2002.)

Schedule