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Quantitative Risk Management I
Quantitative Methods for Risk Management I
Last Updated: 2026-02-05 15:06:39
Abstract
This 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
Lecture Notes
Quantitative Risk Management: Concepts, Techniques and ToolsAJ McNeil, R Frey and P EmbrechtsPrinceton University Press, Princeton, 2005
Literature
Quantitative Risk Management: Concepts, Techniques and Tools AJ McNeil, R Frey and P Embrechts Princeton University Press, Princeton, 2005
General Information
- Language
- English
- Levels
- BSC , DR , NDS , MSC
- Frequency
- Yearly recurring
Examination
- Type
- session examination
- Mode
- oral 20 minutes
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture with exercise |
Quantitative Methods for Risk Management I
Anfang der Vorlesung 02.11.2006
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|
2 h weekly |
Offered In
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Master of Advanced Studies in Finance (For information and admission see . Abbreviations: O obligatory course; W elective course; E recommended or optional course)
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