401-3629-00L Quantitative Risk Management
Semester | Spring Semester 2020 |
Lecturers | P. Cheridito |
Periodicity | yearly recurring course |
Language of instruction | English |
Courses
Number | Title | Hours | Lecturers | |||||||
---|---|---|---|---|---|---|---|---|---|---|
401-3629-00 V | Quantitative Risk Management Recorded lectures will be posted in the material section of the QRM website Link | 2 hrs |
| P. Cheridito | ||||||
401-3629-00 U | Quantitative Risk Management The QRM lecture and exercise session of March 12 will not take place in the auditorium. A video lecture will be made available on Link | 1 hrs |
| P. Cheridito |
Catalogue data
Abstract | This 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, dependence structures and operational risk. |
Objective | The goal is to learn the most important methods from probability theory and statistics used in financial risk modeling. |
Content | 1. 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 notes | Course material is available on Link |
Literature | Quantitative Risk Management: Concepts, Techniques and Tools AJ McNeil, R Frey and P Embrechts Princeton University Press, Princeton, 2015 (Revised Edition) Link |
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. |
Performance assessment
Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
ECTS credits | 4 credits |
Examiners | P. Cheridito |
Type | session examination |
Language of examination | English |
Repetition | The performance assessment is only offered in the session after the course unit. Repetition only possible after re-enrolling. |
Mode of examination | written 120 minutes |
Written aids | 10 single-sided A4 pages of notes. No books or lecture notes. Laptops, tablets and mobile phones must be switched off. |
This information can be updated until the beginning of the semester; information on the examination timetable is binding. |
Learning materials
Main link | QRM website (including recorded lectures) |
Only public learning materials are listed. |
Groups
No information on groups available. |
Restrictions
There are no additional restrictions for the registration. |