This course covers the most important aspects of quantitative risk management. The aim is to give students an overview of the problems and tools used to tackle them. In particular, we discuss:
- risk in perspective and basic concepts in risk management,
- market risk,
- extreme value theory,
- multivariate distributions,
- copulas and dependence.
The topics covered correspond roughly to those covered in chapters 1, 2, 5, 6, 7, and 9 in the recommended book.