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.
Lernziel
The goal is to learn the most important methods from probability theory and statistics used in financial risk modeling.
Inhalt
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
Quantitative Risk Management: Concepts, Techniques and Tools AJ McNeil, R Frey and P Embrechts Princeton University Press, Princeton, 2015 (Revised Edition) Link
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.
Leistungskontrolle
Information zur Leistungskontrolle (gültig bis die Lerneinheit neu gelesen wird)