Foundations of Quantitative Risk Measurement

Dear students,

Welcome to the course Foundations of Quantitative Risk Measurement for the academic year 2020 – 2021. My name is Daniël Linders and I will be the instructor for this course. This course will be fully online and be a combination of live Zoom sessions and pre-recorded video lectures. 

The main place to look for updates, slides, videos, etc. about this course is the Toledo website. However, if you have no access at the moment, you can find all updates on this website, for the moment. However, please make sure you register for Toledo!

If you have any questions about this course, do not hesitate to contact me via email (daniel.linders@kuleuven.be).

Kind regards,

Daniël Linders


Live Zoom Sessions

During the live Zoom sessions, we will discuss the lecture slides, solve a selection of exercises and illustrate R code to implement the theory. There will also be time to ask questions during and after the Zoom session.

You are kindly asked to attend the Zoom session with your video on and actively participate in these Zoom sessions. This will help to improve the efficiency of the Zoom sessions and hopefully allow for a good level of interaction. 


Course Schedule

There will be a weekly Zoom lecture on Tuesday from 9am – 11am. I will also send a reminder by email a few days before each meeting. 

The full lecture schedule can be found here.


Course Documents

I will upload all material (slides, notes, exercises, etc) I use during the lecture here!

Introduction to the course
Chapter 1: Expected Utility Theory
Chapter 2: Integral Stochastic Orders
Chapter 3: Stochastic Dependence
Chapter 4: Comonotonicity
Chapter 5: Yaari’s Dual Theory
Chapter 6: Risk Measures
Chapter 7: Subadditivity and Risk Aggregation