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401-3629-DRL 2 Credits DR D-MATH

Quantitative Risk Management

Lecturers & Examiners: Prof. Dr. Patrick Cheridito, Dr. Tobias Fissler

Only for ZGSM (ETH D-MATH and UZH I-MATH) doctoral students. The latter need to register at myStudies and then send an email to with their name, course number and student ID. Please see

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Last Updated: 2026-02-05 16:37:26

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, backtesting, 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. Backtesting 9. Operational Risk

Resources

Lecture Notes

Course material is available on Moodle.

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

At the end of the term, there will be individual oral interviews of about 15 minutes where doctoral students should be able to demonstrate their basic understanding and mastery of the material. They will probably take place in the afternoon of the 30th of May.To register, doctoral students should send me ([email protected]) an email at least 2 weeks prior to the interview.

Registration & Places

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

Course Components

Type	Title	Time & Place	Hours
lecture with exercise	Quantitative Risk Management	Thu 10:15-13:00 (ML H 44)	3 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: )