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401-3914-00L 4 Credits

Risk Management

Lecturers & Examiners: Prof. em. Dr. Paul Embrechts
VVZ CR n/a

Last Updated: 2026-02-05 14:57:12

Abstract

The topics treated are:- A historic overview of financial risk management- Basel II (banking) and solvency 2 (insurance)- Risk mapping- Coherent risk measures- Value-at-Risk and beyond- Hedging as a risk management tool- Selected topics on market, credit and operational risk- Modelling extremal events- Some practical examples

Objective

In this course, students will be given an overview of financial risk management.

Content

See "Kurzbeschreibung"

Resources

Lecture Notes

There is no specific script, seewww.math.ethz.ch/~kaufmann/RM.htmlfor teaching material.

Literature

See www.math.ethz.ch/~kaufmann/RM.html .

General Information

Language
English
Frequency
Every two years

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Risk Management
  • Thu 13:15-15:00 (HG F 5)
2 h weekly

Offered In