Conducted in
terms:
2023, 2024
Erasmus code: 11.9
ISCED code: 0619
ECTS credits:
6
Language:
English
Organized by:
Faculty of Mathematics, Informatics, and Mechanics
Mathematical Finance 1000-1S11MF
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.
Main fields of studies for MISMaP
mathematics
Course coordinators
Type of course
Ph. D. seminars
elective seminars
elective seminars
Prerequisites
Bibliography
References will be given at the first meeting.