Quantitative Asset and Risk Management
Quantitative Asset and Risk Management
The internationally oriented, English language based master`s degree programme “Quantitative Asset and Risk Management” is aimed at students with high affinity to (financial) mathematics and statistics. The course offers extensive know-how in the area of asset and risk management and is very convincing with its practical applications.
This internationally-focussed master's degree programme is run in English. Graduates have the option of a double degree at one of our partner universities: University of Bologna (Italy), University of Economics (Katowice, Poland) and Alexandru Ioan Cuza University (Iași, Romania).
Graduates are able to
- describe and analyse the connections between asset and risk management in finance
- quantify and assess risk types in risk management, and infer measures for integrated steering of banks and insurance companies
- analyse various asset classes and their products
- carry out portfolio selections, and calculate key performance and risk measures
- apply financial mathematics and statistics to developing financial models
Professional roles and functions
- Asset management
- Risk management
- Liability management
- Private banking and family office
- Compliance and regulatory reporting
- Veronika Hallwirth
- Coordination of the study programme
- +43 1 720 12 86-931
Information about the programme
Get to know our degree programme!
Degree programme director Silvia Helmreich gives an overview of the master programme.
ECTS and course information
Ergebnisse werden geladen
Lehrveranstaltung Equity and Foreign Exchange DerivativesECTS Credits 2.00Sprache EnglischStudienplan BBSemester 1 WSIncoming
After accomplishment of the course students have an overview about the different types of derivatives and the mathematical concepts for pricing those instruments. Furthermore, students are able to apply their knowledge to real world problems like hedging of single instruments and portfolios.
Lehrveranstaltung Fixed Income and Credit DerivativesECTS Credits 4.00Sprache EnglischStudienplan BBSemester 1 WSIncoming
Successful students will have gained a basic understanding concerning the pricing of derivative instruments under the no-arbitrage principle. They will be able to outline explicit methods for the pricing of fixed-income and credit derivatives and to apply those.
Lehrveranstaltung Fundamentals of EconomicsECTS Credits 3.00Sprache EnglischStudienplan BBSemester 1 WSIncoming
After the successful completion of the course student are able to list the most important financial institutions and explain their tasks. The students can differentiate market phenomena in the short and in the long term perspective. Additionally the students are able to describe different economic models.
Lehrveranstaltung Fundamentals of FinanceECTS Credits 5.00Sprache EnglischStudienplan BBSemester 1 WSIncoming
After the successful completion of the course students are able to describe the most important financial products and financial markets. The students can apply the models of basic portfolio theory and outline advantages and disadvantages of these models. Furthermore the students are able to calculate various key figures for stocks, bonds and derivatives and interpret them.
Lehrveranstaltung Fundamentals of Mathematics and StatisticsECTS Credits 4.00Sprache EnglischStudienplan BBSemester 1 WSIncoming
After the successful completion of the course students are able to understand and apply basic models and concepts in asset management and risk management and have a wide range of skills including, for example: the computation and modelling of asset returns and other relevant variables in asset and risk management as well as the computation and interpretation of their important statistical measures. Further, they are prepared to understand more advanced mathematical concepts employed in financial models that are taught at a later stage of the curriculum (courses "Multivariate Methods" and "Time Series Analysis").
Lehrveranstaltung Multivariate MethodsECTS Credits 5.00Sprache EnglischStudienplan BBSemester 1 WSIncoming
After the successful completion of the course students are able to interpret and evaluate parameter estimates and goodness-of-fit measures of statistical models (e.g. regression models) in detail and they can judge the accuracy of these models. As the statistical concepts are always taught on the basis of practical examples, the students know in which areas of asset and risk management these advanced multivariate models are used: return distributions and risks of portfolios of assets, models to estimate the default probability of obligors etc.
Lehrveranstaltung Programming and DatabasesECTS Credits 4.00Sprache EnglischStudienplan BBSemester 1 WSIncoming
After the successful completion of the course students are able master advanced features of Microsoft-Excel to analyse data efficiently. In addition, they have acquired basic programming knowledge in Visual Basic for Applications (VBA) which enables them to develop their own computer functions and programs. Furthermore, they know the basics of Structured Query Language (SQL) and can hence process large quantities of data. Additionally, the students are able to operate statistical software other than MS-Excel (e.g. R, SPSS, SAS or Minitab) which is advantageous when dealing with large data-sets or complex algorithms.
Lehrveranstaltung Time Series AnalysisECTS Credits 3.00Sprache EnglischStudienplan BBSemester 1 WSIncoming
After the successful completion of the course students are able to analyse, model and simulate time series data using computer programs such as EViews. As the concepts of time series analysis are always taught on the basis of practical examples using financial time series, the students know in which areas of asset and risk management time series models are used. Mainly, these will be simulation models to forecast levels of asset prices or interest rates or their volatilities.
Lehrveranstaltung Alternative InvestmentsECTS Credits 2.00Sprache EnglischStudienplan BBSemester 2 SSIncoming
After the successful completion of the course students are able to point out the characteristics of the asset class alternative investments. They are capable to analyse them and differentiate between different investment approaches. Furthermore, they have the ability to conduct performance and attribution analyses for this asset class. Additionally, the students are able to use alternative investment products in a portfolio management process to optimize portfolio selection.
Lehrveranstaltung Asset Class Credit ProductsECTS Credits 2.00Sprache EnglischStudienplan BBSemester 2 SSIncoming
After the successful completion of the course, students are able to characterize products of the asset class credit. They are capable of differentiating between different financial products within the asset class and identify their associated risks. Additionally, they are able to construct forecasting models for this asset class and utilize the results for portfolio allocation and selection. Furthermore, they have the ability to conduct performance and attribution analyses for this asset class.
We thank our partners
PRMIA accreditation for Quantitative Asset and Risk Management / PRM industry certificate
Alumni of Quantitative Asset and Risk Management will be eligible for exemption from PRM exam I and II (out of four exams): https://www.prmia.org/
CFA Society Austria
The master programme Quantitative Asset and Risk Management has strong ties to the CFA Society Austria and is submitting every year the best master theses to the CFA Austria Prize.
SAS Joint Certificate
Graduates of the master’s programme in Quantitative Asset and Risk Management (ARIMA) are now awarded the SAS Joint Certificate. ARIMA is the only programme in Austria, and one of only two universities in Germany, Switzerland and Austria (German-speaking countries), offering this qualification. The condition for this was the use of SAS software in the classrooms.
We have a new research partner: FENION.
Fenion specializes in the delivery of high-quality fund data in all common formats. Our long-standing customers include banks, insurance companies, asset managers, as well as trusts and companies in the public sector. In the context of an Innovationsscheck, sponsored by the FFG (Forschungsförderungsgesellschaft), the study program will conduct joint research with Fenion in the field of regulatory reporting for pension funds.
"ARIMA (Quantitative Risk and Asset Management) is a very intensive master`s programme, which is just the thing for number-crunchers interested in finance, mathematics and statistics. The degree programme offers comprehensive quantitative know-how in asset and risk management, winning you over with practice-oriented applications. Since the studies are quite internationally-oriented, there are numerous possibilities for a successful career in finance and insurance."
Raphael Siegert, MA, graduate