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401-4918-00L 7 Credits
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Quantitative Methods for Risk Management (Risk Management)

Quantitative Methods for Risk Management

Lecturers & Examiners: Prof. em. Dr. Paul Embrechts
VVZ CR n/a

Last Updated: 2026-02-05 15:02:33

Abstract

The basics of Basel II and Solvency 2, Profit-and-Loss (P&L) distributions, Risk measures and capital allocation, Risk aggregation and scaling, QRM for market risk, QRM for elliptical distributions, Beyond Value-at-Risk, Insurance analytics and operational risk.

General Information

Language
English
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Quantitative Methods for Risk Management
  • Mon 11:15-12:00 (HG D 7.2)
  • Thu 10:15-12:00 (HG D 7.2)
3 h weekly

Offered In