Patrick Cheridito: Katalogdaten im Frühjahrssemester 2017

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
401-3629-00LQuantitative Risk Management Information 4 KP2VP. Cheridito
KurzbeschreibungThis 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.
LernzielThe goal is to learn the most important methods from probability theory and statistics used to model financial risks.
Inhalt1. 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
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, P. Embrechts, 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