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401-4918-00L 7 Credits
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Quantitative Methods for Risk Management

Lecturers & Examiners: Prof. Dr. Alexander John McNeil
VVZ CR n/a

Last Updated: 2026-02-05 14:57:16

Abstract

This course covers mathematical and statistical methods for modelling market risk. The problem is to estimate the loss distributiuon for a financial position or portfolio over a future time interval. This requires techniques in multivariate analysis, econometric time series analysis and extreme value theory.

Objective

This course covers mathematical and statistical methods for modelling market risk. The problem is to estimate the loss distributiuon for a financial position or portfolio over a future time interval. This requires techniques in multivariate analysis, econometric time series analysis and extreme value theory.

Content

1. The market risk modelling problem 2. Standard methods used in practice 3. Multivariate distributions 4. Multivariate time series 5. Copulas 6. Extreme value theory

General Information

Language
English
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Quantitative Methods for Risk Management
  • Mon 11:15-12:00 (HG D 7.2)
  • Thu 10:15-12:00 (HG D 7.2)
3 h weekly

Offered In