401-3629-00L Quantitative Risk Management
Semester | Spring Semester 2013 |
Lecturers | P. Embrechts |
Periodicity | yearly recurring course |
Language of instruction | English |
Courses
Number | Title | Hours | Lecturers | ||||
---|---|---|---|---|---|---|---|
401-3629-00 V | Quantitative Risk Management | 2 hrs |
| P. Embrechts |
Catalogue data
Abstract | The aim of this course is to present a concise overview of mathematical methods from the areas of probability and statistics that can be used by financial institutions to model market, credit and operational risk. Topics addressed include loss distributions, multivariate models, dependence and copulas, extreme value theory, risk measures, risk aggregation and risk allocation. |
Objective | The aim of this course is to present a concise overview of mathematical methods from the areas of probability and statistics that can be used by financial institutions to model market, credit and operational risk. |
Content | 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 |
Lecture notes | Quantitative Risk Management: Concepts, Techniques, Tools AJ McNeil, R Frey and P Embrechts Princeton University Press, Princeton, 2005 |
Literature | Quantitative Risk Management: Concepts, Techniques, Tools AJ McNeil, R Frey and P Embrechts Princeton University Press, Princeton, 2005, and references therein. |
Prerequisites / Notice | 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. |
Performance assessment
Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
ECTS credits | 4 credits |
Examiners | P. Embrechts |
Type | session examination |
Language of examination | English |
Repetition | The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit. |
Mode of examination | written 120 minutes |
Written aids | Keine / None |
This information can be updated until the beginning of the semester; information on the examination timetable is binding. |
Learning materials
No public learning materials available. | |
Only public learning materials are listed. |
Groups
No information on groups available. |
Restrictions
There are no additional restrictions for the registration. |