- Lecture (starting 2016-02-25): Thursday, 10:15-12:00, Room HG G3
- Lecturer: Prof. Dr. Paul Embrechts
- Requirements: Basic course in probability and mathematical statistics
- The password for the course material will be announced in the first lecture
- Exam (2nd round): Wednesday February 1, 2017, 9:00-11:00. Concerning post-exam review dates, see here.
- Check back with this website before the exam (for changes on short notice).
- No auxiliary material is allowed.
- If cheat sheets are found, the exam will be graded as complete failure.
- Bring your student card (Legi) with you and keep it ready, we will check it during the exam.
- Cell phones must be switched off.
The aim of this course is to present a concise overview of mathematical methods from the areas of probability and statistics that can be used by financial institutions to model market, credit and operational risk. Topics addressed include loss distributions, multivariate models, dependence and copulas, extreme value theory, risk measures, risk aggregation and risk allocation.
- Risk in perspective
- Basic concepts
- Multivariate models
- Copulas and dependence
- Aggregate risk
- Extreme value theory
- Introduction to credit risk
- Operational risk and insurance analytics
Course material (last update: 2016-03-02)
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 2005 first edition also suffices).