Info
- Lecture: Thursday, 10:15 – 12:00, Room HG E 5
- Lecturers: Prof. Dr. Paul Embrechts and Dr. Marius Hofert
- Requirements: Basic course in probability and mathematical statistics
- The password for the course material will be announced in the first lecture
- Exam: The exam will take place on Monday, August 6 from 9:00 to 11:00 (room will be announced)
Contents
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
Course material (last update: 2012-05-11)
Further readings, links
Course book
A. J. McNeil, R. Frey and P. Embrechts (2005). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press.
Other interesting books
- S. Coles (2001). An Introduction to Statistical Modeling of Extreme Values. Springer.
- M. Crouhy, D. Galai and R. Mark (2010). Risk Management. McGraw Hill.
- H. Föllmer, A. Schied (2011). Stochastic Finance: An Introduction in Discrete Time. de Gruyter.
- P. Jorion (2007). Value at Risk: The New Benchmark for Managing Financial Risk. McGraw Hill.
- G. C. Pflug, W. Römisch (2007). Modeling, Measuring and Managing Risk. World Scientific.
Papers
- P. Embrechts, A. J. McNeil and D. Straumann (2002). Correlation and dependence in risk management: Properties and pitfalls. In: Risk Management: Value at Risk and Beyond, ed. M. A. H. Dempster, Cambridge University Press, Cambridge, pp. 176-223.
- C. Genest and A.-C. Favre (2006). Everything you always wanted to know about copula modeling but were afraid to ask. Journal of Hydrologic Engineering, 12, 347-368.
- A. J. McNeil and R. Frey (2000). Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. Journal of Empirical Finance, 7, 271-300.
- V. V. Acharya, T. Cooley, M. Richardson and I. Walter (2010). Manufacturing Tail Risk: A Perspective on the Financial Crisis of 2007-09. Forthcoming in Foundations and Trends in Finance, 4, 2010.
- C. Donnelly and P. Embrechts (2009). The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. ASTIN bulletin, 40(1), 1-33.
- G. B. Gorton and A. Metrick (2009). Securitized Banking and the Run on Repo. Yale ICF Working Paper No. 09-14.
- M. F. Hellwig (2008). Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis. De Economist, 157(2), 129-207.
Websites
- Basel Committee on Banking Supervision
- QRM in practice: UBS Q1 2010 report (check out the Risk and Treasury Management section)
