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Patrick Cheridito: Katalogdaten im Frühjahrssemester 2019

NameHerr Prof. Dr. Patrick Cheridito
LehrgebietVersicherungsmathematik
Adresse
Dep. Mathematik
ETH Zürich, HG F 42.3
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telefon+41 44 633 87 87
E-Mailpatrick.cheridito@math.ethz.ch
URLhttp://www.math.ethz.ch/~patrickc
DepartementMathematik
BeziehungOrdentlicher Professor

NummerTitelECTSUmfangDozierende
364-1058-00LRisk Center Seminar Series Belegung eingeschränkt - Details anzeigen
Maximale Teilnehmerzahl: 50
0 KP2SA. Bommier, D. Basin, D. N. Bresch, L.‑E. Cederman, P. Cheridito, H. Gersbach, H. R. Heinimann, M. Larsson, G. Sansavini, F. Schweitzer, D. Sornette, B. Stojadinovic, B. Sudret, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen
KurzbeschreibungThis course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling and governing complex socio-economic systems, and managing risks and crises. Students and other guests are welcome.
LernzielParticipants should learn to get an overview of the state of the art in the field, to present it in a well understandable way to an interdisciplinary scientific audience, to develop novel mathematical models and approaches for open problems, to analyze them with computers or other means, and to defend their results in response to critical questions. In essence, participants should improve their scientific skills and learn to work scientifically on an internationally competitive level.
InhaltThis course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. For details of the program see the webpage of the seminar. Students and other guests are welcome.
SkriptThere is no script, but the sessions will be recorded and be made available. Transparencies of the presentations may be put on the course webpage.
LiteraturLiterature will be provided by the speakers in their respective presentations.
Voraussetzungen / BesonderesParticipants should have relatively good scientific, in particular mathematical skills and some experience of how scientific work is performed.
401-3629-00LQuantitative Risk Management4 KP2V + 1UP. Cheridito
KurzbeschreibungThis course introduces methods from probability theory and statistics that can be used to model financial risks. Topics addressed include loss distributions, risk measures, extreme value theory, multivariate models, copulas, dependence structures and operational risk.
LernzielThe goal is to learn the most important methods from probability theory and statistics used in financial risk modeling.
Inhalt1. Introduction
2. Basic Concepts in Risk Management
3. Empirical Properties of Financial Data
4. Financial Time Series
5. Extreme Value Theory
6. Multivariate Models
7. Copulas and Dependence
8. Operational Risk
SkriptCourse material is available on https://people.math.ethz.ch/~patrickc/qrm
LiteraturQuantitative Risk Management: Concepts, Techniques and Tools
AJ McNeil, R Frey and P Embrechts
Princeton University Press, Princeton, 2015 (Revised Edition)
http://press.princeton.edu/titles/10496.html
Voraussetzungen / BesonderesThe course corresponds to the Risk Management requirement for the SAA ("Aktuar SAV Ausbildung") as well as for the Master of Science UZH-ETH in Quantitative Finance.
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 KP1KP. Cheridito, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich
KurzbeschreibungForschungskolloquium
LernzielEinfuehrung in aktuelle Forschungsthemen aus dem Bereich "Insurance Mathematics and Stochastic Finance".
Inhalthttps://www.math.ethz.ch/imsf/courses/talks-in-imsf.html