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Quantitative Risk Management
Last Updated: 2026-02-05 15:25:10
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
- Keine / None
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture with exercise | Quantitative Risk Management |
|
2 h weekly |
Offered In
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Department of Mathematics (Official website of the Zurich Graduate School in Mathematics:)
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MAS in Finance (For information and admission (and possibly more up-to-date information about the courses) see .)