401-3629-00L  Quantitative Risk Management

Semester Spring Semester 2016
Lecturers P. Embrechts
Periodicity yearly course
Language of instruction English


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 The course material (pdf-slides and further reading material) are available at
https://people.math.ethz.ch/%7eerkoch/qrm_2016.html
in the section "Course material" (the username and password have been sent by email).

The textbook listed under "Literatur" below makes ideal background reading.
Literature 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
(For this course the 2005 first edition also suffices)
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.