Damir Filipovic

EPFL CDM SFI CSF
EXTRA 218 (Extranef UNIL)
Quartier UNIL-Dorigny
1015 Lausanne

Web site:  Web site:  https://www.epfl.ch/labs/csf/

EPFL CDM-DIR
EXTRA 218 (Extranef UNIL)
Quartier UNIL-Dorigny
1015 Lausanne

Web site:  Web site:  https://www.epfl.ch/schools/cdm/

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Administrative data

Teaching & PhD

Teaching

Financial engineering

Courses

Interest rate and credit risk models

This course gives an introduction to the modeling of interest rates and credit risk. Such models are used for the valuation of interest rate securities with and without credit risk, the management and hedging of bond portfolios and the valuation and usage of interest rate and credit derivatives.

Quantitative risk management

This course is an introduction to quantitative risk management that covers standard statistical methods, multivariate risk factor models, non-linear dependence structures (copula models), as well as portfolio allocation and diversification.