FIN-417 / 4 crédits

Enseignant: Filipovic Damir

Langue: Anglais

## Summary

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

## Content

• Basics of risk management
• Standard statistical methods
• Multivariate risk factor models
• Modelling dependencies (correlation, copula)
• Dynamic EVT models
• Credit risk models
• Risk aggregation and diversification

## Keywords

risk management, copula, diversification, credit risk

## Recommended courses

• Calculus and Linear Algebra (undergraduate level)
• Statistics and Probability (first university course)
• Some knowledge of financial derivatives
• Previous experience with Matlab is very useful

## Learning Outcomes

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

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

## Transversal skills

• Use a work methodology appropriate to the task.

• Lectures
• Exercises
• Homework

## Expected student activities

active attendance at lectures, completing exercises

## Assessment methods

• 40% midterm exam
• 60% final exam

## Bibliography

• Quantitative Risk Management - McNeil, Frey, Embrechts (primary reference)
• An Introduction to Statistical Modeling of Extreme Values - Coles
• Analysis of Financial Times Series - Tsay
• Statistical Models - Davison

## Dans les plans d'études

• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Quantitative risk management
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Type: obligatoire
• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Quantitative risk management
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Type: obligatoire
• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Quantitative risk management
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Type: optionnel

## Semaine de référence

Lundi, 10h - 12h: Cours EXTRANEF126

Mardi, 13h - 15h: Exercice, TP EXTRANEF126

## Cours connexes

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