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401-3629-00L 6 Credits
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Quantitative Risk Management I

Lecturers & Examiners: Prof. Dr. Alexander John McNeil
VVZ CR 4.6

Last Updated: 2026-02-05 14:59:47

Abstract

Ihis course is part of a two-semester cycle. The aim is to present a concise overview of mathematical methods from the areas of probability and statistics that can be used by financial institutions to model market, credit and operational risk. Topics addressed include multivariate models for financial returns, factor models, time series models for financial returns, ARMA and GARCH processes.

Objective

Ihis course is part of a two-semester cycle. The aim is to present a concise overview of mathematical methods from the areas of probability and statistics that can be used by financial institutions to model market, credit and operational risk.

Content

1. Risk in Perspective 2. Basic Methods 3. Multivariate Risk Models 4. Time Series Models

Resources

Literature

Quantitative Risk Management: Concepts, Techniques and Tools AJ McNeil, R Frey and P Embrechts Princeton University Press, Princeton, 2005

General Information

Language
English
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture with exercise Quantitative Risk Management I
  • Wed 15:15-16:00 (HG D 7.2)
  • Thu 15:15-17:00 (HG D 1.2)
3 h weekly

Offered In