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, backtesting, and operational risk.

Linear Algebra:linear systems, vector calculus, matrix calculus, linear maps, orthogonal maps, trace & determinant, eigenvalues & eigenvectors, vector spacesstochastics:combinatorics, probability, probability densities, statistics

This course introduces the basic concepts, techniques and tools of quantitative financial risk management. A main emphasis will be put on the application of these techniques to the regulatory framework of the Basel Committee of Banking Supervision (Basel II) and some aspects of insurance regulation under Solvency 2.

The goal of this seminar is to present various stochastic methods for claims reserving.These methods enable to set adequate reserves for open claims and todetermine prediction errors of these estimators.