Special Topics in Statistics and Probability (STSP): Quantitative Risk Management and Risk Analytics (7 ECTS)

The aim of this course is to provide an introduction to quantitative theoretical and computational methods for risk management and risk analysis. It is intended for students who already have a solid quantitative background and exposure to fundamental concepts in probability and statistics, as well as a good computational background. Building on this foundation, the course introduces students to their applications in the highly active field of risk management. Specifically:

• The concept of risk, with examples from financial and insurance markets – Risk representation and its importance – The concept of scenarios, their connection to simulation, and their use in risk management
• A brief introduction to financial and insurance markets – Types of contracts and their use in risk management
• Basic probabilistic and stochastic models for risk management
• Basic families of multivariate distributions and their properties – The concept of dependence between random variables and its importance – Extreme value models – Basic stochastic models for finance and insurance – Numerical and computational methods for these models
• Risk measures – From variance to convex and coherent risk measures
• Use, calculation, and backtesting
• Portfolios and their use in risk management – Basic risk management strategies
• Model uncertainty and its importance in risk management
• Beyond financial and insurance risk: Natural disaster risk, project risk, and climate risk

Recommended Reading

• A. J. McNeil, R. Frey and P. Embrechts, Quantitative Risk Management, Princeton University Press, 2015
• H. Folmer and A. Schied, Stochastic Finance, De Gruyter, 2004
• Σημειώσεις διδασκόντων
• Επιλεγμένες εργασίες από την σύγχρονη ερευνητική βιβλιογραφία