Quantitative Risk Management

Department of Mathematics, ETH Zurich



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.

Course material

Course material (last update: 2016-03-02)

Further readings, links

Course 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 2005 first edition also suffices).


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