### Info

**Lectures and in-class exercises**Thursdays from 10:15 – 13:00 in ML H44**Lecturers**Tobias Fissler, Patrick Cheridito and Michael Amrein**Prerequisites**Basic knowledge in probability theory and statistics

### Content

This course introduces methods from probability theory and statistics that can be used to model financial risks. Topics addressed include loss distributions, risk measures, extreme value theory, multivariate models, copulas, dependence structures, backtesting
and operational risk.
More information is on Moodle.

### Syllabus

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

### Book

A.J. McNeil, R. Frey and P. Embrechts (2015). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press (Revised Edition).