Quantitative financial risk management

Summary

This course is an introduction to quantitative risk management that covers standard statistical methods, multivariate models, risk measures, non-linear dependence structures (copula models), as well as credit risk.

Content

Keywords

risk management, risk measure, dependence, diversification, credit risk

Learning Prerequisites

Required courses

• Calculus and Linear Algebra (undergraduate level)

• Statistics and Probability (first university course)

• Knowledge of financial derivatives

Recommended courses

Learning Outcomes

By the end of the course, the student must be able to:

• Use the main statistical tools used to model financial risk
• Implement important volatility and credit risk models
• Choose appropriate tools to describe and quantify the risk of a portfolio

Transversal skills

• Use a work methodology appropriate to the task.

Teaching methods

• Lectures

• Exercises

• Projects

Expected student activities

active attendance at lectures, completing exercises and projects

Assessment methods

• 25% project

• 75% final exam

Resources

Virtual desktop infrastructure (VDI)

No

Bibliography

• Quantitative Risk Management - McNeil, Frey, Embrechts (primary reference)

• Handbook of Financial Risk Management - Roncalli

Moodle Link

• https://go.epfl.ch/FIN-417