Quantitative Asset and Risk Management
Quantitative Asset and Risk Management
Quantitative Asset and Risk Management is a career parallel, English-language degree programme. It qualifies students for a successful career in banking and finance for both the domestic and international labour market.
The main fields of study are asset management, risk management and asset liability management for banks, insurance companies, other financial service providers and regulatory institutions.
The programme is aimed at students with high affinity to (financial) mathematics and statistics. It offers extensive know-how in the area of asset and risk management and is very convincing with its practical applications.
Students have multiple opportunities to gain international experience at one of our partner universities and also gain a double degree. Depending on personal preferences and compatibility with career and private life.
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
- solve problems together with experts from other disciplines by applying risk management and asset management strategies and methods under consideration of ethical and social responsibilities
- cooperate, as competent experts, in a globalised work environment or in international teams
- Asset management
- Risk management
- Liability management
- Private banking and family office
- Compliance and regulatory reporting
You can find more information in the current brochure of the degree programme
Get to know our degree programme
ECTS and course information
ECTS Credits 2.00Language EnglishCurriculum PTSemester 1 WSIncoming
After accomplishment of the course students are able to categorize and describe different types of derivatives (forwards, futures and options) and apply different mathematical models to calculate prices for them. They can explain the binomial model and its extension in continuous time to the Black-Sholes model. Furthermore, they are able to demonstrate critical thinking and analytical problem-solving skills to reflect on the viability of the models in real world markets and to integrate derivatives into an investment approach, e.g. for hedging purposes.
ECTS Credits 4.00Language EnglishCurriculum PTSemester 1 WSIncoming
Successful students are able to define various fixed income and credit derivatives, comment on their possible usage in asset and risk management and determine prices for them by applying different pricing models. They can paraphrase the no-arbitrage principle and relate it to pricing derivatives. Additionally, they are able to debate the validity of pricing models in real world markets and use simulations and stress testing to critically analyse possible shortcomings of the models.
Course Fundamentals of EconomicsECTS Credits 3.00Language EnglishCurriculum PTSemester 1 WSIncoming
After the successful completion of the course student are able to list the most important financial institutions and illustrate their tasks. They can examine market phenomena and categorize and interpret them in the short and in the long-term perspective. Additionally, students can outline different economic models and articulate mayor implications.
Course Fundamentals of FinanceECTS Credits 5.00Language EnglishCurriculum PTSemester 1 WSIncoming
After the successful completion of the course students are able to categorize the most important financial products, outline mayor characteristics and list important financial markets. They can apply the models of basic portfolio theory for determining optimal portfolios and comment on advantages and disadvantages of these models. Furthermore, the students can calculate various key figures for stocks, bonds and derivatives and interpret them and assess risk and return characteristics of various financial products.
ECTS Credits 4.00Language EnglishCurriculum PTSemester 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").
Course Multivariate MethodsECTS Credits 5.00Language EnglishCurriculum PTSemester 1 WSIncoming
After the successful completion of the course, students are able to decide on appropriate statistical techniques (e.g. regression and classification models) and they can apply and interpret them: they can calibrate, interpret and analyse models’ parameter estimates and goodness-of-fit measures in detail and they can hence judge the accuracy of these models. They can apply the calibrated models to estimate the value of dependent variables (regressand) on the basis of the values of explanatory variables (regressors). 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.
Course Programming and DatabasesECTS Credits 4.00Language EnglishCurriculum PTSemester 1 WSIncoming
After the successful completion of the course students are able to apply advanced features of Microsoft-Excel to analyse data efficiently. In addition, they demonstrate basic programming knowledge (definition of variables, assignment of values to variables, if-statements, for- and while-loops, logical operators, functions, variable scope, arrays, objects, collections, error handling and documentation techniques) in Visual Basic for Applications (VBA) which enables them to develop their own computer functions and programs. Furthermore, they are able to use Structure Query Language (SQL) elements for storing, manipulating and retrieving data in databases. 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.
Course Time Series AnalysisECTS Credits 3.00Language EnglishCurriculum PTSemester 1 WSIncoming
After the successful completion of the course, students are familiar with basic time series models, i.e. they can list and recognise the models, can write down the models and describe their basic properties. In addition, they are able to analyse, model and simulate financial time series data (at a basic level) using computer programs such as EViews. Students can explain in which areas of asset and risk management time series models are used.
Course Alternative InvestmentsECTS Credits 2.00Language EnglishCurriculum PTSemester 2 SSIncoming
After the successful completion of the course, students are able to systemize the wide range of products in the asset class alternative investments. They can elaborate on different products of the asset class such as real estate and hedge funds alongside their risk profile and discuss different investment approaches. Furthermore, they can describe the characteristics of real estate markets, distinguish between different investment approaches (style and vehicle), reflect on the risks of these investments and perform real estate valuation based on various models. Additionally, they have the ability to conduct performance and attribution analyses for this asset class and are able to use alternative investment products in a portfolio management process to optimize portfolio selection.
Course Asset Class Credit ProductsECTS Credits 2.00Language EnglishCurriculum PTSemester 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