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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 16:22:18

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

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)	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: )