Info
- Lectures Thursdays from 10:15 – 11:55 in ML H44
- Exercise Sessions Thursdays from 12:15 – 13:00 in HG E1.1
- Lecturers Tobias Fissler and Patrick Cheridito
- 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 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.
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
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).