401-3629-00L  Quantitative Risk Management

Semester Frühjahrssemester 2014
Dozierende P. Embrechts
Periodizität jährlich wiederkehrende Veranstaltung
Lehrsprache Englisch


Kurzbeschreibung 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.
Lernziel 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.
Inhalt 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
Skript Quantitative Risk Management: Concepts, Techniques, Tools
AJ McNeil, R Frey and P Embrechts
Princeton University Press, Princeton, 2005
Literatur Quantitative Risk Management: Concepts, Techniques, Tools
AJ McNeil, R Frey and P Embrechts
Princeton University Press, Princeton, 2005,
and references therein.
Voraussetzungen / Besonderes 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.