Prof. Dr. Carsten Wehn is actively involved as an honorary professor for the Department of Mathematics and offers practice-oriented courses that deal with quantitative aspects of risk measurement and the mathematical valuation of derivative products. The range of topics covered by the various courses offered since 2006 includes the modeling of market risks, credit risks and counterparty risks, elements of portfolio theory, the modeling of interest rate derivatives and the mathematical valuation of financial derivatives, the modeling of dependency structures in financial mathematics, Monte Carlo methods in financial mathematics, aspects of Basel II, III and IV and the like.
The course formats include lectures as well as seminars and proseminars. You can find current offers in unisono.
The courses offered are aimed at students of mathematics as well as mathematically oriented students of economics (Bachelor and Master). The courses are thematically self-contained and all the necessary foundations are laid. Introductory lectures (e.g. stochastics, statistics) and possibly parts of the course Stochastics III/Financial Engineering by Prof. Dr. Alfred Müller
are nevertheless very helpful.
Prof. Dr. Carsten Wehn also supervises theses (Bachelor and Master). Please contact him directly if you are interested.
contact
You can reach Prof. Dr. Carsten Wehn via e-mail at:
carsten [dot] wehn [at] gmx [dot] de
(please replace accordingly).
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since 2005: Deka Bank
During this time responsible for:
- Head of Model Risk Management and Validation
- Head of Model Validation
- Head of Controlling Risk-bearing capacity and operational risks
- Head of Risk Models
- Head of Market Risk Controlling
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2001 - 2005: German Bundesbank
Auditor and audit manager for internal risk management models
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2020: University of Siegen
Appointment as honorary professor
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2005: University of Siegen
Doctorate as Dr. rer. nat.
| Title | Cover |
|---|---|
| Model risk and validation of risk models (2nd edition, with Marcus R. W. Martin and Peter Quell, 2017). Bank-Verlag, Cologne. |
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| SSM, SREP and Pillar I+: The new regulatory mindset (with Daniel A. Quinten, 2017). Schäffer-Poeschel. |
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| Market risk regulation in transition (with Peter Quell, 2016). Bank-Verlag, Cologne. |
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| Credit derivatives and credit risk models: A mathematical introduction (2nd edition, with Marcus R. W. Martin and Stefan Reitz, 2014). Springer Spektrum, Wiesbaden. |
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| Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges (with Christian Hoppe and Greg N. Gregoriou, 2012). Elsevier. |
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| Counterparty Risk: Valuation, Management, Capital Adequacy under Basel III and IFRS (with Sven Ludwig and Marcus R. W. Martin, 2012). Schäffer-Poeschel. |
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| The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets (with Greg N. Gregoriou and Christian Hoppe, 2010). McGraw-Hill. |
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| Scenario Analyses and Stress Tests in Banking and Insurance Practice: Regulatory Requirements, Implementation, Management (with Walter Gruber and Marcus R. W. Martin, 2010). Schäffer-Poeschel. |
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| Handbook Liquidity Risk: Identification, Measurement and Management. (with Peter Bartetzky and Walter Gruber, 2008). Schäffer-Poeschel. |
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- Model Validation and Model Risk: Reaching the End of the Line?
(with Michael von Thaden, 2020).
Journal of Banking Regulation 21(4), 382-394. - Back to Backtesting: Integrated Backtesting for Value-at-Risk and Expected Shortfall in Practice
(2018).
Journal of Risk Model Validation 12(4), 17-39. - On the Treatment of Model Risk in the Internal Capital Adequacy Assessment Process
(with Tilo Bellof, 2018).
Journal of Applied Finance & Banking 8(4), 1-15. - Analytical Risk Contributions for Non-Linear Portfolios
(with Helmut Lutz, 2012).
Risk 25(2), 68-71. - A Practical Anatomy of IRC Modeling
(with Marcus R. W. Martin and Helmut Lutz, 2011).
Journal of Risk Model Validation 5(2), 45-60. - Time Dynamic and Hierarchical Dependence Modeling of a Supervisory Portfolio of Banks: A Multivariate Nonparametric Approach
(with Sandra Gaisser, Christoph Memmel and Rafael Schmidt, 2011).
Journal of Risk 14(1), 3-40. - Event Risk Modeling for Equities
(with Annabelle Kehl and Melanie Frick, 2008).
Risk 24(2), 90-95. - Looking Forward to Back Testing
(2008).
Risk 21(5), 90-95. - Supervisor's Portfolio: The Market Price Risk of German Banks From 2001 to 2004: Analysis and Models for Risk Aggregation
(with Christoph Memmel, 2006).
Journal of Banking Regulation 7(3-4), 310-325. - Backtesting Within the Trading Book
(with Gerhard Stahl and Andreas Zapp, 2006).
Journal of Risk 8(2), 1-16. - Reconsidering Ratings
(with Stefan Blochwitz and Stefan Hohl, 2005).
Wilmott Magazine (May 2005), 60-69.