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401-3631-00L 3 Credits BSC , DR , MSC D-MTEC , D-MATH , D-INFK , D-ITET

Applied Risk Management

Lecturers & Examiners: Prof. Dr. Patrick Cheridito, Dr. Bastian Jörg Bergmann, Dr. Tobias Fissler
VVZ CR n/a

Last Updated: 2026-07-21 00:36:52

Abstract

This course provides an applied introduction to risk management in banks and other financial institutions, bridging quantitative methods and real-world practice.

Objective

This course introduces how financial institutions manage risk in practice. It covers both financial and non-financial risks, including market risk (e.g., Value-at-Risk, Stress Testing), counterparty credit risk (e.g., Potential Future Exposure, CVA) and operational risk (e.g., model risk). The course further examines how the relevant regulatory framework shapes risk management standards. Industry practice is central: Through guest lectures by practitioners, students gain first-hand exposure to real cases, current challenges and the day-to-day practice of risk management in financial institutions. Many of these methods, in particular Value-at-Risk and Expected Shortfall, also underpin insurance capital regimes such as Solvency II and the Swiss Solvency Test, making the course a valuable complement for actuaries working in or moving towards enterprise risk management.

Content

The course first develops the quantitative tools for measuring each of the major risk types, then shows how these are translated into the market standards and conventions used across the industry today. Throughout, a strong emphasis is placed on the practical challenges of operating these models and on their conceptual limitations. Lectures are hands-on and include interactive Jupyter notebooks. Topics include: - Derivatives and their valuation - Market risk (VaR, Stress Testing) - (Counterparty) credit risk (PFE, CVA) - Regulatory frameworks for market and counterparty credit risk (FRTB, SA-CCR) - Stress testing - Desk risk management - Applications of ML methods in risk management - Introduction to non-financial risk (operational risk, model risk)

General Information

Language
English
Levels
BSC , DR , MSC
Frequency
Yearly recurring

Examination

Type
graded semester performance
The grade for the semester performance is based on case work as well as the final examination.

Course Components

Type Title Time & Place Hours
lecture Applied Risk Management No time listed 2 h weekly

Offered In