Patrick Cheridito: Katalogdaten im Frühjahrssemester 2017 |
Name | Herr Prof. Dr. Patrick Cheridito |
Lehrgebiet | Versicherungsmathematik |
Adresse | Dep. Mathematik ETH Zürich, HG F 42.3 Rämistrasse 101 8092 Zürich SWITZERLAND |
Telefon | +41 44 633 87 87 |
patrick.cheridito@math.ethz.ch | |
URL | http://www.math.ethz.ch/~patrickc |
Departement | Mathematik |
Beziehung | Ordentlicher Professor |
Nummer | Titel | ECTS | Umfang | Dozierende | |
---|---|---|---|---|---|
401-3629-00L | Quantitative Risk Management | 4 KP | 2V | P. Cheridito | |
Kurzbeschreibung | This course introduces methods from probability theory and statistics that can be used to model financial risks. Topics addressed include loss distributions, multivariate models, copulas and dependence structures, extreme value theory, risk measures, aggregation of risk, and risk allocation. | ||||
Lernziel | The goal is to learn the most important methods from probability theory and statistics used to model financial risks. | ||||
Inhalt | 1. Risk in Perspective 2. Basic Concepts 3. Multivariate Models 4. Copulas and Dependence 5. Aggregate Risk 6. Extreme Value Theory 7. Operational Risk and Insurance Analytics | ||||
Skript | Course material is available on https://people.math.ethz.ch/~patrickc/qrm | ||||
Literatur | Quantitative 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 / Besonderes | The 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. | ||||
401-5910-00L | Talks in Financial and Insurance Mathematics | 0 KP | 1K | P. Cheridito, P. Embrechts, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich | |
Kurzbeschreibung | Forschungskolloquium | ||||
Lernziel | Einfuehrung in aktuelle Forschungsthemen aus dem Bereich "Insurance Mathematics and Stochastic Finance". | ||||
Inhalt | https://www.math.ethz.ch/imsf/courses/talks-in-imsf.html |