VVZ API is not affiliated with ETH Zurich. Data might be outdated or incorrect. Please view the official ETHZ Vorlesungsverzeichnis for binding information.

401-4918-00L 5 Credits BSC , DR , NDS , MSC D-USYS , D-MAVT , D-MTEC , D-MATH , D-BIOL , D-ARCH , D-BAUG , D-PHYS , D-GESS , D-CHAB

Quantitative Methods for Risk Management II

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

Last Updated: 2026-02-05 15:19:32

Abstract

This course introduces the basic concepts, techniques and tools of quantitative financial risk management. A main emphasis will be put on the application of these techniques to the regulatory framework of the Basel Committee of Banking Supervision (Basel II) and some aspects of insurance regulation under Solvency 2.

Objective

This is PART II of a course on Quantitative Methods for Risk Management. PART I was taught by Dr. Neslehova in the WS 06/07. Students who want to obtain the Aktuar-SAV Diplom should follow this course for the Risk Management unit. The course can be followed with a fairly minimal background from PART I. Requirements are a good understanding of the basics of probability theory and statistics.

Content

Risk in Perspective. Basic Concepts in Risk Management. Copulas and Dependence. Aggregate Risk. Extreme Value Theory. Operational Risk and Insurance Analytics.

Resources

Lecture Notes

A.J. McNeil, R. Frey and P. Embrechts: Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press (2005). Check the websitehttp://www.ma.hw.ac.uk/~mcneil/for more information on the book, including the accompanying S-Plus software QRMLib and a list oferrata.

Literature

A.J. McNeil, R. Frey and P. Embrechts: Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press (2005), and references therein.

General Information

Language
English
Levels
BSC , DR , NDS , MSC

Examination

Type
session examination
Mode
oral 20 minutes
Prüfung auf Deutsch oder auf Englisch möglich

Course Components

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

Offered In