Course

FIN-417: 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.

Lectures

Instructor

Damir Filipovic

Damir Filipovic holds the Swissquote Chair in Quantitative Finance and is Swiss Finance Institute Professor at the Ecole Polytechnique Fédérale de Lausanne (EPFL), Switzerland. Prior to this, he was head of the Vienna Institute of Finance and professor at the University of Vienna. He previously held the chair of financial and insurance mathematics at the University of Munich, and he was on the faculty of Princeton University. He received his Ph.D. in mathematics from ETH Zurich in 2000. Damir Filipovic worked as a scientific consultant for the Swiss Federal Office of Private Insurance from 2003 to 2004. There he co-developed the Swiss Solvency Test, which defines the regulatory capital requirement for all Swiss based insurance companies and groups. He is on the editorial board of several academic journals. His research interests include the term structure of interest rates, credit and volatility risk, quantitative methods in risk management, and stochastic processes. His papers have been published in a variety of academic journals including the Journal of Financial Economics, Mathematical Finance, Finance and Stochastics, and the Annals of Applied Probability. He is the author of a textbook titled Term-Structure Models.

Official source

https://edu.epfl.ch/coursebook/en/quantitative-financial-risk-management-FIN-417

Moodle Page

http://go.epfl.ch/FIN-417

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Summary

Lectures

Instructor

Damir Filipovic

Official source

https://edu.epfl.ch/coursebook/en/quantitative-financial-risk-management-FIN-417

Moodle Page

http://go.epfl.ch/FIN-417

Lectures in this course (43)

Coherent Risk Measures: Spectral Approach

Explores coherent risk measures and the spectral approach to risk aversion, covering VaR, ES, subadditivity, convexity, and the creation of new risk measures.

Quantitative Risk Management: Basics and Models

Covers statistical tools, risk models, and challenges in quantitative risk management.

Quantitative Risk Management: Basics and Applications

Covers the basics of quantitative risk management, financial risk, loss distributions, and risk factor changes.

Financial Risk Management: Concepts and Applications

Covers the fundamentals of financial risk management, including types of risk, historical developments, regulatory events, and the challenges in quantitative risk management.

Risk Measures: VaR and ES

Explores Value-at-Risk and Expected Shortfall as key risk measures in financial risk management.

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