- Lectures Thursdays from 10:15 – 12:00 in Room ML H 44
- Professor Patrick Cheridito
- Prerequisites Basic knowledge in probability theory and mathematical statistics
- Exam Beginning of August 2018
- Check this website before the exam (for possible changes).
- Bring your student card (Legi). It will be checked during the exam.
- No lectures notes, books or cheat sheets are allowed. Cell phones, tablets and laptops must be switched off.
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, and operational risk.
- Basic concepts in risk management
- Empirical properties of financial data
- Financial time series
- Extreme value theory
- Multivariate models
- Copulas and dependence
- Operational risk