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401-3629-00L 4 Credits BSC , DR , MSC , NDS D-USYS , D-BAUG , D-MAVT , D-INFK , D-MTEC , D-MATH , D-BIOL , D-GESS , D-ITET , D-ARCH , D-CHAB
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Quantitative Risk Management

Lecturers & Examiners: Prof. em. Dr. Paul Embrechts
VVZ CR 4.6

Last Updated: 2026-02-05 15:14:57

Abstract

The aim of this course 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 loss distributions, multivariate models, dependence and copulas, extreme value theory, risk measures, risk aggregation and risk allocation.

Objective

The aim of this course 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 Concepts 3. Multivariate Models 4. Copulas and Dependence 5. Aggregate Risk 6. Extreme Value Theory 7. Operational Risk and Insurance Analytics

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, and references therein.

General Information

Language
English
Levels
BSC , DR , MSC , NDS
Frequency
Yearly recurring

Examination

Type
session examination
Mode
written 120 minutes
Aids
None

Course Components

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

Offered In