Quantitative Risk Management (Spring 2025)

Info

• Lectures and in-class exercises: On Thursdays from 10:15 - 13:00 in ML H44
• 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 available 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).