### Info

**Lectures**Thursdays from 10:15 – 11:55 in room ML H 44**Professor**Patrick Cheridito**Prerequisites**Basic knowledge in probability theory and mathematical statistics**Exam**August 11, 2018 from 9:00 – 11:00 in room HIL F 41**Important:**- 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.

### 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

### 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).