401-3629-00L  Quantitative Risk Management

SemesterSpring Semester 2013
LecturersP. Embrechts
Periodicityyearly recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-3629-00 VQuantitative Risk Management2 hrs
Thu10:15-12:00HG G 3 »
P. Embrechts

Catalogue data

AbstractThe 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.
ObjectiveThe 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.
Content1. 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 notesQuantitative Risk Management: Concepts, Techniques, Tools
AJ McNeil, R Frey and P Embrechts
Princeton University Press, Princeton, 2005
LiteratureQuantitative Risk Management: Concepts, Techniques, Tools
AJ McNeil, R Frey and P Embrechts
Princeton University Press, Princeton, 2005,
and references therein.
Prerequisites / NoticeThe 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 credits4 credits
ExaminersP. Embrechts
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationwritten 120 minutes
Written aidsKeine / None
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

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Only public learning materials are listed.

Groups

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Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Doctoral Department of MathematicsGraduate SchoolWInformation
Mathematics BachelorSelection: Financial and Insurance MathematicsWInformation
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation
Statistics MasterStatistical and Mathematical CoursesWInformation