# 401-3629-00L Quantitative Risk Management

Semester | Spring Semester 2013 |

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 | 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. |