Quantitative Risk Management

Spring 2023, ETH Zurich



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. More information is on Moodle.



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).

Old Exams

2018       2019       2020       2021       2022