### Info

**Zoom Meetings**Thursdays from 10:15 – 11:55**Professor**Patrick Cheridito**Assistant**Philipp Zimmermann**Prerequisites**Basic knowledge in probability theory and statistics**Exam**Sept 2, 2021 from 10:30 – 12:30**Important:**- Bring your student card. It will be checked during the exam.
- You are allowed to bring 10 single-sided A4 pages of your own notes. No books or lecture notes. Laptops, tablets and mobile phones must be switched off.

### Content

This course introduces methods from probability theory and statistics that can be used to model financial risks. Topics covered include loss distributions, risk measures, empirical properties of financial data, extreme value theory, multivariate models, copulas and dependence structures as well as operational risk.

#### Syllabus

- Introduction
- Basic concepts in risk management
- Empirical properties of financial data
- Financial time series
- Extreme value theory
- Multivariate models
- Copulas and dependence
- Operational risk Slides

### Book

A.J. McNeil, R. Frey and P. Embrechts (2015). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press (Revised Edition) (For this course the first edition of 2005 also suffices).

### Exercises

- Problem Set 1 Due on March 10 Submit
- Problem Set 2 Due on March 17 Submit
- Problem Set 3 Due on March 24 Submit
- Problem Set 4 Due on March 31 Submit
- Problem Set 5 Due on April 6 Submit
- Problem Set 6 Due on April 13 Submit
- Problem Set 7 Due on April 20 Submit
- Problem Set 8 Due on April 27 Submit
- Problem Set 9 Due on May 4 Submit
- Problem Set 10 Due on May 18 Submit
- Problem Set 11 Due on May 25 Submit

More exercises with solutions can be found in The Quantitative Risk Management Exercise Book