Patrick Cheridito: Catalogue data in Spring Semester 2021

Name	Prof. Dr. Patrick Cheridito
Field	Insurance Mathematics
Address	Dep. Mathematik ETH Zürich, HG F 42.3 Rämistrasse 101 8092 Zürich SWITZERLAND
Telephone	+41 44 633 87 87
E-mail	patrick.cheridito@math.ethz.ch
URL	http://www.math.ethz.ch/~patrickc
Department	Mathematics
Relationship	Full Professor

Number	Title	ECTS	Hours	Lecturers
363-1153-00L	New Technologies in Banking and Finance	3 credits	2V	B. J. Bergmann, P. Cheridito, H. Gersbach, P. Mangold, J. Teichmann, R. Wattenhofer
Abstract	Technological advances, digitization and the ability to store and process vast amounts of data has changed the landscape of banking and finance in recent years. This course will unpack the technologies underlying these transformations and reflect on the impacts on the financial world, covering also change management perspectives.
Learning objective	After taking this course, students will be able to - Understand recent technological developments and how they drive transformation in banking and finance - Understand the challenges of this digital transformation when managing financial and non-financial risks - Reflect on the impacts this transformation has on workflows, agile working, project and change management
Content	The financial manager of the future is commanding a wide set of skills ranging from a profound understanding of technological advances and a sensible understanding of the impact on workflows and business models. Students with an interest in finance and banking are invited to take the course without explicit theoretical knowledge in financial economics. As the course will cover topics like machine learning, cyber security, distributed computing, and more, an understanding of these technologies is welcomed, however not mandatory. The course will also go beyond technological advances and will also cover management-related contents. The course is divided in sections, each covering different areas and technologies. Students are asked to solve small cases in groups for each section. Invited guest speakers will contribute to the sessions. In addition, separate networking sessions will provide entry opportunities into finance and banking. More information on the speakers and specific session can be found here: https://riskcenter.ethz.ch/education/lectures.html and on the moodle page.
Prerequisites / Notice	The course is opened to students from all backgrounds. Some experience with quantitative disciplines such as probability and statistics, however, is useful.
364-1058-00L	Risk Center Seminar Series	0 credits	2S	G. Sansavini, D. Basin, A. Bommier, D. N. Bresch, L.‑E. Cederman, P. Cheridito, H. Gersbach, F. Schweitzer, D. Sornette, B. Stojadinovic, B. Sudret, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen
Abstract	This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling and governing complex socio-economic systems, and managing risks and crises. Students and other guests are welcome.
Learning objective	Participants should learn to get an overview of the state of the art in the field, to present it in a well understandable way to an interdisciplinary scientific audience, to develop novel mathematical models and approaches for open problems, to analyze them with computers or other means, and to defend their results in response to critical questions. In essence, participants should improve their scientific skills and learn to work scientifically on an internationally competitive level.
Content	This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. For details of the program see the webpage of the seminar. Students and other guests are welcome.
Lecture notes	There is no script, but the sessions will be recorded and be made available. Transparencies of the presentations may be put on the course webpage.
Literature	Literature will be provided by the speakers in their respective presentations.
Prerequisites / Notice	Participants should have relatively good scientific, in particular mathematical skills and some experience of how scientific work is performed.
401-3629-00L	Quantitative Risk Management	4 credits	2V + 1U	P. Cheridito
Abstract	This course introduces methods from probability theory and statistics that can be used to model financial risks. Topics addressed include loss distributions, risk measures, extreme value theory, multivariate models, copulas, dependence structures and operational risk.
Learning objective	The goal is to learn the most important methods from probability theory and statistics used in financial risk modeling.
Content	1. Introduction 2. Basic Concepts in Risk Management 3. Empirical Properties of Financial Data 4. Financial Time Series 5. Extreme Value Theory 6. Multivariate Models 7. Copulas and Dependence 8. Operational Risk
Lecture notes	Course material is available on https://people.math.ethz.ch/~patrickc/qrm
Literature	Quantitative Risk Management: Concepts, Techniques and Tools AJ McNeil, R Frey and P Embrechts Princeton University Press, Princeton, 2015 (Revised Edition) http://press.princeton.edu/titles/10496.html
Prerequisites / Notice	The course corresponds to the Risk Management requirement for the SAA ("Aktuar SAV Ausbildung") as well as for the Master of Science UZH-ETH in Quantitative Finance.
401-5910-00L	Talks in Financial and Insurance Mathematics	0 credits	1K	B. Acciaio, P. Cheridito, D. Possamaï, M. Schweizer, J. Teichmann, M. V. Wüthrich
Abstract	Research colloquium
Learning objective	Introduction to current research topics in "Insurance Mathematics and Stochastic Finance".
Content	https://www.math.ethz.ch/imsf/courses/talks-in-imsf.html