Quantitative Risk Management

The implementation of appropriate and reliable quantitative risk models is crucial for banks and financial institutions from both economic and legal perspectives. This course offers a comprehensive exploration of the theoretical concepts and modeling tools essential for quantitative risk management. By the end of the course, students will have mastered both the theory and practical application of these models, enabling them to address real-world financial risk management challenges effectively.

The course will cover fundamental risk concepts and key risk measures, stylized factors of financial time series and their modeling, financial tail loss modeling using extreme value theory, as well as multivariate models and copulas. Each topic will be thoroughly examined, providing students with a deep understanding of the strengths and weaknesses of various models, and equipping them with the skills to improve current practices in the field.