401-3629-00L  Quantitative Risk Management

SemesterSpring Semester 2017
LecturersP. Cheridito
Periodicityyearly 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, multivariate models, copulas and dependence structures, extreme value theory, risk measures, aggregation of risk, and risk allocation.
ObjectiveThe goal is to learn the most important methods from probability theory and statistics used to model financial risks.
Content1. 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 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)
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.