Financial Markets

course: Quantitative Risk Management

speaker: Alexander McNeil (ETH Zurich)

abstract: Quantitative methodology is an increasingly important component of risk management in financial institutions. Financial risk management presents an extremely interesting area of application for statistics with many new challenges. Whereas much of traditional statistics concerns the average, the normal and the expected, risk management has more to do with the extreme, the abnormal and the unexpected. Central technical issues will be modelling the volatility of financial instruments, modelling extreme values and modelling dependent risks. We will examine methods relevant for both market and credit risk management.

Provisional Contents:

1. Basic concepts of risk management 2. Standard industry approaches 3. Multivariate risk models and copulas 4. Modelling financial time series 5. Extreme value theory 6. Applications to market and credit risk

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