Modules

M1: Measuring operational risk with methods from insurance mathematics

• Module leader: Ao.Univ.Prof. Dr. Peter Grandits
• Staff:
• Bank Austria: Univ.Doz. Dr. Peter Schaller

M2: Risk-adjusted value functionals and capital allocation

• Module leader:
• Staff: Dr. Hannes Kazianka
• Bank Austria: Dr. Christoph Konvicka

M3: Measures of risk and risk-based capital allocation

• Module leader: o.Univ.Prof. Dr. Walter Schachermayer
• Staff: DI Ranja Reda
• Bank Austria: Dr. Matthias Baron, Dr. Silvia Lafer-Stuppnig

M4: Dependence modelling for pricing and risk management

• Module leader: Univ.Prof. Dr. Uwe Schmock
• Staff: Dipl.-Math. Barbara Dengler (for Bank Austria), DI Karin Hirhager (for FJA), Dipl.-Math. Cordelia Rudolph (for Bank Austria)
• Bank Austria: DI Margarete Sobolewski
• FJA: Axel Helmert, Dr. Christian Weber

M5: Pricing and hedging under transaction costs

• Module leader: o.Univ.Prof. Dr. Walter Schachermayer
• Staff: Dipl.-Math. Benedikt Blum
• Bank Austria: Univ.Doz. Dr. Peter Schaller

M6: Credit risk models and credit derivatives

• Module leader: Univ.Prof. Dr. Uwe Schmock
• Staff:
• Bank Austria: Dr. Matthias Baron, Dr. Christoph Konvicka

M7: Numerical methods in finance

• Module leader: Univ.Ass. Dr. Reinhold Kainhofer
• Staff:
• Bank Austria:

M8: Modelling of market risk with jump processes

• Module leader: Univ.Ass. Dr. Friedrich Hubalek
• Staff: Dr. Andreas Hula
• Bank Austria: Univ.Doz. Dr. Peter Schaller

M9: Quantification of counterparty risk for exotic swaps

• Module leader: Dr. Stefan Gerhold
• Staff: Sühan Altay, MSc
• ÖBFA: DI Roland Kapl, Mag.(FH) Gerald Nebenführ, DI Kristin Radek

Former modules:

Modelling of fixed income markets (Oct. 2005 - Sept. 2007)

• Module leader: Ao.Univ.Prof. Dr. Josef Teichmann
• Staff: DI Thomas Steiner
• Bank Austria: Dr. Rainer Pullirsch