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Mathematics & Statistics (Sci) : Basics concepts in quantitative risk management: types of financial risk, loss distribution, risk measures, regulatory framework. Empirical properties of financial data, models for stochastic volatility. Extreme-value theory models for maxima and threshold exceedances. Multivariate models, copulas, and dependence measures. Risk aggregation.
Terms: Winter 2025
Instructors: Neslehova, Johanna (Winter)
