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

Lecturers & Examiners: Prof. Dr. Patrick Cheridito
VVZ CR 4.6

Last Updated: 2026-02-05 16:07:35

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)

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
  • Thu 10:15-12:00 (ML H 44)
  • 30.05 Date 17:15-19:00 (ML H 44)
2 h weekly
exercise Quantitative Risk Management
  • Thu 12:15-13:00 (HG E 1.1)
1 h weekly

Offered In