At the end of this learning unit, the student is able to :
Ability to evaluate and assess quantitative risks
quantitative risk management. The topics cover basic concepts in risk management, risk measures, multivariate models, financial time series
and measures of dependence. It will be focused on the statistical
aspects and practical implementation of the discussed techniques.
Due to the COVID-19 crisis, the information in this section is particularly likely to change.Several practical assignments, to be solved on the computer, will be
used to guideline the students throughout the class. The assignments
will be evaluated.
Due to the COVID-19 crisis, the information in this section is particularly likely to change.Assignments (20%) and oral exam (80%)
- Franke, J., Haerdle, W. and Hafner, C. (2012) Statistics of Financial Markets, an Introduction, 3rd edition, New York: Springer.
- McNeil, A.J., Frey, R. and Embrechts, P. (2005), Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton UP Series in Finance.
- transparents sur moodle