Quantitative Risk Management

Spring 2021, ETH Zurich



Info



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



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).



Exercises


More exercises with solutions can be found in The Quantitative Risk Management Exercise Book


Old Exams

2018       2019       2020       2021


Course Material