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401-3629-DRL 2 Credits DR D-MATH
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Quantitative Risk Management

Lecturers & Examiners: Prof. Dr. Patrick Cheridito
Only for ETH D-MATH doctoral students and for doctoral students from the Institute of Mathematics at UZH. The latter need to send an email to Jessica Bolsinger ( ) with the course number. The email should have the subject „Graduate course registration (ETH)“.
VVZ CR n/a

Last Updated: 2026-02-05 16:07:27

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
DR
Frequency
Yearly recurring

Examination

Type
ungraded semester performance

Registration & Places

Priority: Registration for the course unit is only possible for the primary target group

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

  • Doctorate Mathematics (More Information at: )
    • Subject Specialisation (The list of courses (together with the allocated credit points) eligible for doctoral students is published each semester in the newsletter of the ZGSM.)
      • Graduate School (Official website of the Zurich Graduate School in Mathematics: In addition to the 401-....-DRL course units, adapted versions for doctoral students of the following course units: 263-4400-00L Advanced Graph Algorithms and Optimization 401-3902-21L Network & Integer Optimization: From Theory to Application 401-3904-22L Convex Optimization 401-3629-00L Quantitative Risk Management 401-3652-00L Numerical Methods for Hyperbolic Partial Differential Equations 151-0530-00L Nonlinear Dynamics and Chaos II 227-0434-10L Mathematics of Information 401-4490-22L Topology Optimization of Engineering Systems ... (continued ))