401-3629-00L  Quantitative Risk Management

SemesterSpring Semester 2018
LecturersP. Cheridito
Periodicityyearly recurring course
Language of instructionEnglish



Catalogue data

AbstractThis 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 and dependence structures as well as operational risk.
ObjectiveThe goal is to learn the most important methods from probability theory and statistics used in financial risk modeling.
Content1. 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
Lecture notesCourse material is available on https://people.math.ethz.ch/~patrickc/qrm
LiteratureQuantitative 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
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. Cheridito
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is only offered in the session after the course unit. Repetition only possible after re-enrolling.
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

No public learning materials available.
Only public learning materials are listed.

Courses

NumberTitleHoursLecturers
401-3629-00 VQuantitative Risk Management2 hrs
Thu10-12ML H 44 »
P. Cheridito

Groups

No information on groups available.

Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Data Science MasterInterdisciplinary ElectivesWInformation
Doctoral Department of MathematicsGraduate SchoolWInformation
Mathematics (General Courses)Actuary SAA Education at ETH ZurichWInformation
Mathematics BachelorSelection: Financial and Insurance MathematicsWInformation
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation
Statistics MasterStatistical and Mathematical CoursesWInformation