Patrick Cheridito: Katalogdaten im Frühjahrssemester 2021

NameHerr Prof. Dr. Patrick Cheridito
Dep. Mathematik
ETH Zürich, HG F 42.3
Rämistrasse 101
8092 Zürich
Telefon+41 44 633 87 87
BeziehungOrdentlicher Professor

363-1153-00LNew Technologies in Banking and Finance3 KP2VB. J. Bergmann, P. Cheridito, H. Gersbach, P. Mangold, J. Teichmann, R. Wattenhofer
KurzbeschreibungTechnological advances, digitization and the ability to store and process vast amounts of data has changed the landscape of banking and finance in recent years. This course will unpack the technologies underlying these transformations and reflect on the impacts on the financial world, covering also change management perspectives.
LernzielAfter taking this course, students will be able to
- Understand recent technological developments and how they drive transformation in banking and finance
- Understand the challenges of this digital transformation when managing financial and non-financial risks
- Reflect on the impacts this transformation has on workflows, agile working, project and change management
InhaltThe financial manager of the future is commanding a wide set of skills ranging from a profound understanding of technological advances and a sensible understanding of the impact on workflows and business models. Students with an interest in finance and banking are invited to take the course without explicit theoretical knowledge in financial economics. As the course will cover topics like machine learning, cyber security, distributed computing, and more, an understanding of these technologies is welcomed, however not mandatory. The course will also go beyond technological advances and will also cover management-related contents. The course is divided in sections, each covering different areas and technologies. Students are asked to solve small cases in groups for each section. Invited guest speakers will contribute to the sessions. In addition, separate networking sessions will provide entry opportunities into finance and banking.

More information on the speakers and specific session can be found here: and on the moodle page.
Voraussetzungen / BesonderesThe course is opened to students from all backgrounds. Some experience with quantitative disciplines such as probability and statistics, however, is useful.
364-1058-00LRisk Center Seminar Series0 KP2SG. Sansavini, D. Basin, A. Bommier, D. N. Bresch, L.‑E. Cederman, P. Cheridito, H. Gersbach, 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 Management Information 4 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
LiteraturQuantitative Risk Management: Concepts, Techniques and Tools
AJ McNeil, R Frey and P Embrechts
Princeton University Press, Princeton, 2015 (Revised Edition)
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 KP1KB. Acciaio, P. Cheridito, D. Possamaï, M. Schweizer, J. Teichmann, M. V. Wüthrich
LernzielEinfuehrung in aktuelle Forschungsthemen aus dem Bereich "Insurance Mathematics and Stochastic Finance".