401-3629-00L  Quantitative Risk Management

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


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.