printlogo
http://www.ethz.ch/index_EN
Department of Mathematics
 
print
  

Risk Measures

Please note that this page is old.
Check in the VVZ for a current information.
Professor Dr. Valeria Bignozzi
Time Tuesday 10:00-12:00

Objective

Risk measures are important tools for managing and quantifying financial and insurance risks. The aim of the course is to present an overview of different kind of risk measures available in the academic literature or currently used in practice emphasizing their properties and drawbacks. Students will then be familiar with VaR, Expected shortfall, coherent and convex risk measures but also with the more recent expectiles. The last part of the course will discuss practical issues arising from estimating and backtesting risk measures.

Content

Literature

For further reading we recommend:

Books

Papers

Lecture notes

Lecture notes for the 6-May-2014

 

Wichtiger Hinweis:
Diese Website wird in älteren Versionen von Netscape ohne graphische Elemente dargestellt. Die Funktionalität der Website ist aber trotzdem gewährleistet. Wenn Sie diese Website regelmässig benutzen, empfehlen wir Ihnen, auf Ihrem Computer einen aktuellen Browser zu installieren. Weitere Informationen finden Sie auf
folgender Seite.

Important Note:
The content in this site is accessible to any browser or Internet device, however, some graphics will display correctly only in the newer versions of Netscape. To get the most out of our site we suggest you upgrade to a newer browser.
More information

© 2016 Mathematics Department | Imprint | Disclaimer | 6 May 2014
top