VVZ API is not affiliated with ETH Zurich. Data might be outdated or incorrect. Please view the official ETHZ Vorlesungsverzeichnis for binding information.

401-3629-00L 4 Credits BSC , DR , MSC D-ITET , D-MATH , D-INFK

You're viewing possible stale or outdated data. Please check the latest semester for more up-to-date information.

Quantitative Risk Management

Lecturers & Examiners: Prof. Dr. Patrick Cheridito

VVZ CR 4.6

Last Updated: 2026-02-05 15:41:32

Abstract

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.

Objective

The goal is to learn the most important methods from probability theory and statistics used in financial risk modeling.

Content

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

Resources

Lecture Notes

Course material is available onhttps://people.math.ethz.ch/~patrickc/qrm

Literature

Quantitative Risk Management: Concepts, Techniques and Tools AJ McNeil, R Frey and P Embrechts Princeton University Press, Princeton, 2015 (Revised Edition) http://press.princeton.edu/titles/10496.html

Learning Materials (Links)

Main link
QRM website (including recorded lectures)

General Information

Language: English
Levels: BSC , DR , MSC
Frequency: Yearly recurring

Examination

Type: session examination
Mode: written 120 minutes
Aids: 10 single-sided A4 pages of notes. No books or lecture notes. Laptops, tablets and mobile phones must be switched off.

Course Components

Type	Title	Time & Place	Hours
lecture	Quantitative Risk Management Recorded lectures will be posted in the material section of the QRM website	Thu 10:00-12:00 (ER SA TZ) Thu 10:15-12:00 (ML H 44)	2 h weekly
exercise	Quantitative Risk Management The QRM lecture and exercise session of March 12 will not take place in the auditorium. A video lecture will be made available on	Thu 12:00-13:00 (ER SA TZ) Thu 12:15-13:00 (ML H 44)	1 h weekly

Offered In

Mathematics (General Courses)
- Actuary SAA Education at ETH Zurich (Further pieces of information are available at Prof. M. Wüthrich's secretariat, HG F 42.)
Mathematics Bachelor
- Electives
  - Selection: Financial and Insurance Mathematics
Mathematics Master
- Electives (For the Master's degree in Applied Mathematics the following additional condition (not manifest in myStudies) must be obeyed: At least 15 of the required 28 credits from core courses and electives must be acquired in areas of applied mathematics and further application-oriented fields.)
  - Electives: Applied Mathematics and Further Application-Oriented Fields (¬)
    - Selection: Financial and Insurance Mathematics
Statistics Master (The following courses belong to the curriculum of the Master's Programme in Statistics. The corresponding credits do not count as external credits even for course units where an enrolment at ETH Zurich is not possible.)
- Specialization Areas and Electives
  - Statistical and Mathematical Courses
Quantitative Finance Master (see Students in the Joint Degree Master's Programme "Quantitative Finance" must book UZH modules directly at the UZH. Those modules are not listed here.)
- Core Courses
  - Mathematical Methods for Finance
Doctoral Department of Mathematics (More Information at: The list of courses (together with the allocated credit points) eligible for doctoral students is published each semester in the newsletter of the ZGSM. WARNING: Do not mistake ECTS credits for credit points for doctoral studies!)
- Graduate School (Official website of the Zurich Graduate School in Mathematics:)
Data Science Master
- Interdisciplinary Electives