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Embrechts, Paul’ AUTHOR PAGE
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E-Mail: embrechts@math.ethz.ch
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webpage: http://www.math.ethz.ch/~embrechts/
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Affiliation: ETH Zurich
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Diversification in Heavy-Tailed Portfolios: Properties and Pitfalls 2013
Mainik, Georg
Embrechts, Paul
 
We discuss risk diversification in multivariate regularly varying models and provide explicit formulas for Value-at-Risk asymptotics in this case. The...
Statistics and Quantitative Risk Management for Banking and Insurance 2014
Embrechts, Paul
Hofert, Marius
 
As an emerging field of applied research, quantitative risk management (QRM) poses a lot of challenges for probabilistic and statistical modeling. Thi...
Bounds for the Sum of Dependent Risks Having Overlapping Marginals 2009
Embrechts, Paul
Puccetti, Giovanni
 
We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having ?xed overla...
Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures 2014
Embrechts, Paul
Wang, Bin
Wang, Ruodu
 
Research related to aggregation, robustness, and model uncertainty of regulatory risk measures, for instance, Value-at-Risk (VaR) and Expected Shortfa...
An Academic Response to Basel 3.5 2013
Embrechts, Paul
Puccetti, Giovanni
Rueschendorf, Ludger
Wang, Ruodu
Beleraj, Antonela
 
Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWA). Relatively minor model changes may lead t...
Statistics and Quantitative Risk Management for Banking and Insurance 2014
Embrechts, Paul
Hofert, Marius
 
As an emerging field of applied research, Quantitative Risk Management (QRM) poses a lot of challenges for probabilistic and statistical modeling. Thi...
Four Theorems and a Financial Crisis 2012
Embrechts, Paul
Das, Bikramjit
Fasen, Vicky
 
In this paper we give an academic assessment of the ?nancial crisis (crises) from our point of view and discuss where quantitative risk management wen...
An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates 2013
Chavez-Demoulin, Valerie
Embrechts, Paul
Hofert, Marius
 
A general methodology for modeling loss data depending on covariates is developed. The parameters of the frequency and severity distributions of the l...
Model Uncertainty and VaR Aggregation 2012
Embrechts, Paul
Puccetti, Giovanni
Rueschendorf, Ludger
 
Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard for the calculation of risk capit...
Aggregating Operational Risk Across Matrix Structured Loss Data 2008
Embrechts, Paul
Puccetti, Giovanni
 
We study the problem of evaluating the risky position involved in a matrix of random losses with some given probabilistic structure. In the Basel II r...
Practices and Issues in Operational Risk Modeling under Basel II 2011
Embrechts, Paul
Hofert, Marius
 
We provide an introduction and overview to operational risk modeling according to the Basel II legal documents and summarize observed practices and is...
Risk Aggregation 2010
Embrechts, Paul
Puccetti, Giovanni
 
Quantitative Risk Management often starts with a vector of one period profit-and-loss random variables defined on some probability space. Risk Aggreg...
Extreme-Quantile Tracking for Financial Time Series 2011
Chavez-Demoulin, Valerie
Sardy, Sylvain
Embrechts, Paul
 
Time series of financial asset values exhibit well known statistical features such as heavy tails and volatility clustering. Strongly present in some ...
Scaling of High-Quantile Estimators 2009
Degen, Matthias
Embrechts, Paul
 
Enhanced by the global financial crisis, the discussion about an accurate estimation of regulatory (risk) capital a financial institution needs to hol...
Dependence Structures for Multivariate High-Frequency Data in Finance 2003
Embrechts, Paul
Dias, Alexandra
Breymann, Wolfgang
 
Stylized facts for univariate high-frequency data in finance are well known. They include scaling behaviour, volatility clustering, heavy tails and se...
Revisiting the Edge, Ten Years On 2008
Chavez-Demoulin, Valerie
Embrechts, Paul
 
When these lines are written, it is January 21, 2008, a further “Black Monday”on the international markets. Stock indices have fallen between 5 and 10...
The AEP Algorithm for the Fast Computation of the Distribution of the Sum of Dependent Random Variables 2010
Embrechts, Paul
Puccetti, Giovanni
Arbenz, Philipp
 
We propose a new algorithm to compute numerically the distribution function of the sum of d dependent, non-negative random variables with given joint ...
An EVT Primer for Credit Risk 2009
Chavez-Demoulin, Valerie
Embrechts, Paul
 
We review, from the point of view of credit risk management, classical Extreme Value Theory in its one–dimensional (EVT) as well as more–dimensional (...
The Devil Is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis 2010
Embrechts, Paul
Donnelly, Catherine
 
In the aftermath of the 2007-2008 nancial crisis, there has been criticism of mathematics and the mathematical models used by the nance industry. We...
Extremes and Robustness: A Contradiction? 2006
Embrechts, Paul
Dell Aquila, Rosario
 
Stochastic models play an important role in the analysis of data in many different fields, including finance and insurance. Many models are estimated ...
Multivariate Extremes and the Aggregation of Dependent Risks: Examples and Counter-Examples 2008
Embrechts, Paul
Lambrigger, Dominik
Wuethrich, Mario V.
 
Properties of risk measures for extreme risks have become an important topic of research. In the present paper we discuss sub- and superadditivity of ...
EVT-based estimation of risk capital and convergence of high quantiles 2008
Degen, Matthias
Embrechts, Paul
 
We discuss some issues regarding the accuracy of a quantile-based estimation of risk capital. In this context, extreme value theory (EVT) emerges natu...
Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness 2007
Embrechts, Paul
Neslehova, Johanna
Wuethrich, Mario V.
 
Mainly due to new capital adequacy standards for banking and insurance, an increased interest exists in the aggregation properties of risk measures li...
Extreme Value Theory and Copulas 2007
Embrechts, Paul
Neslehova, Johanna
 
Extremes in quantitative risk management | Limiting behavior of sums and maxima | Fisher/Tippett theorem | Extreme value distributions and domains of ...
Copulas: A Personal View 2009
Embrechts, Paul
 
Copula modeling has taken the world of finance and insurance, and well beyond, by storm. Why is this? In this article, I review the early start of thi...
Bounds for Functions of Dependent Risks 2005
Embrechts, Paul
Puccetti, Giovanni
 
The problem of finding the best-possible lower bound on the distribution of a non-decreasing function of n dependent risks is solved when n = 2 and a ...
Aggregating Risk across Matrix Structured Loss Data: The Case of Operational Risk 2007
Embrechts, Paul
Puccetti, Giovanni
 
We study the problem of evaluating the risky position involved in a matrix of random losses with some given probabilistic structure. In the Basel II r...
High Risk Scenarios and Extremes 2007
Balkema, Guus
Embrechts, Paul
 
Quantitative Risk Management (QRM) has become a field of research of considerable importance to numerous areas of application, including insurance, ba...
Linear Correlation and EVT: Properties and Caveats 2009
Embrechts, Paul
 
Due to the current credit crisis, critical questions are being asked concerning some of the quantitative methods used in risk management under the Bas...
Ruin Problem, Operational Risk and How Fast Stochastic Processes Mix 2007
Embrechts, Paul
Samorodnitsky, Gennady
 
The recent increasing interplay between actuarial and nancial mathematicshas led to a surge of risk theoretic modeling. Especially actuarial ruin mod...
Different Kinds of Risk 2006
Embrechts, Paul
Furrer, Hansjoerg
Kaufmann, Roger
 
Over the last twenty years, the financial industry has developed numeroustools for the quantitative measurement of risk. The need for this was mainly ...
The Quantitative Modeling of Operational Risk: Between g-and-h and EVT 2006
Degen, Matthias
Embrechts, Paul
Lambrigger, Dominik
 
Operational risk has become an important risk component in the banking andinsurance world. The availability of (few) reasonable data sets has given so...
Extreme VaR Scenarios in Higher Dimensions 2006
Embrechts, Paul
Hoeing, Andrea
 
The dependence scenario yielding the worst possible Value-at-Risk at a given level forX1 + · · · + Xn is known for n = 2. In this paper we investiga...
Infinite-Mean Models and the LDA for Operational Risk 2006
Neslehova, Johanna
Embrechts, Paul
Chavez-Demoulin, Valerie
 
Due to published statistical analyses of operational risk data, methodologicalapproaches to the “advanced measurement approach” modeling of operationa...
Dynamic Copula Models for Multivariate High-Frequency Data in Finance 2004
Dias, Alexandra
Embrechts, Paul
 
We analyze the conditional copula for two dimensional high-frequency data and find evidence of non-constancy over tme. We investigate at six differen...
Aggregating Risk Capital, with an Application to Operational Risk 2006
Embrechts, Paul
Puccetti, Giovanni
 
We describe a numerical procedure to obtain bounds on the distributionfunction of a sum of n dependent risks having fixed marginals.With respect to th...
Quantitative Models for Operational Risk: Extremes, Dependence and Aggregation 2006
Chavez-Demoulin, Valerie
Embrechts, Paul
Neslehova, Johanna
 
Due to the new regulatory guidelines known as Basel II for banking and Solvency 2 forinsurance, the nancial industry is looking for qualitative appro...
Quantitative Risk Management: Concepts, Techniques, and Tools 2005
McNeil, Alexander
Frey, Rudiger
Embrechts, Paul
 
The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years...
Multivariate Excess Distributions 2004
Balkema, Guus
Embrechts, Paul
 
This paper presents a continuous one parameter family of multivariate generalizedPareto distributions which describe the asymptotic behaviour of excee...
Bounds for Functions of Multivariate Risks 2005
Embrechts, Paul
Puccetti, Giovanni
 
Li, Scarsini, and Shaked (1996a) provide bounds on the distribution and thetail for functions of dependent random vectors having fixed multivariate ma...
From Dutch Dykes to Value-at-Risk 2004
Embrechts, Paul
 
This presentations discusses EVT and copulas and applications traditional and financial. ...
VaR, Stress Testing and Related Risk Management Techniques for Hedge Funds 2004
Embrechts, Paul
Furrer, Hansjoerg
 
No abstract available....
Quantifying Regulatory Capital for Operational Risk 2003
Embrechts, Paul
Furrer, Hansjoerg
Kaufmann, Roger
 
The proposed New Accord (Basel II) established by the Basel Committee on Banking Supervision calls for an explicit treatment of operational risk. Ban...
Worst VaR Scenarios 2004
Embrechts, Paul
Hoeing, Andrea
Puccetti, Giovanni
 
The worst-possible Value-at-Risk for a non-decreasing function of n dependent risks isknown when n=2 or the copula of the portfolio is bounded from be...
Advanced Extremal Models for Operational Risk 2004
Chavez-Demoulin, Valerie
Embrechts, Paul
 
In this paper we discuss some of the more recent Extreme Value Theory (EVT)methodology which may be useful towards the statistical analysis of certain...
Strategic Long-Term Financial Risks The One Dimensional Case 2004
Embrechts, Paul
Kaufmann, Roger
Patie, Pierre
 
The development of a methodology that could be used for the measurementof strategic long-term financial risks is becoming an important task. Existing ...
Ruin Theory Revisited: Stochastic Models for Operational Risk 2004
Embrechts, Paul
Kaufmann, Roger
Samorodnitsky, Gennady
 
The new Basel Capital Accord has opened up a discussion concerning the measurement of operational risk for banks. In our paper we do not take a stand ...
An Academic Response to Basel II 2001
Daníelsson, Jón
Embrechts, Paul
Goodhart, Charles A.
 
...
Basic Concetps in Risk Management 2001
Embrechts, Paul
Frey, Rudiger
McNeil, Alexander
 
In this chapter we discuss basic concepts which are essential in quantitative riskmanagement. We begin by introducing a mathematical framework for mod...
Modelling Multivariate Extremes 2000
Embrechts, Paul
De Haan, Laurens
Huang, Xin
 
The main aim of our paper is to present one possible approach for modelling tail events in the multivariate case. For reasons of notational simplicit...
Ruin Theory Revisited: Stochastic Models for Operational Risk 2002
Embrechts, Paul
Samorodnitsky, Gennady
 
The new Basel Capital Accord has opened up a discussion concerning the measurement of operational risk for banks. In our paper we do not take a stand ...
Risk Management and Quantile Estimation 1998
Bassi, Franco
Embrechts, Paul
Kafetzaki, Maria
 
Questions concerning risk management in finance and premium calculation in non-life insurance often involve quantile estimation. We give an introduct...
Integrated Risk Management for Banking and Insurance 2001
Embrechts, Paul
 
...
Smooth Extremal Models in Finance and Insurance 2001
Chavez-Demoulin, Valerie
Embrechts, Paul
 
In this paper we discuss some of the more recent EVT methdodoligy which may be useful in handling the presence of covariates and the resulting modelli...
Extremes in Economics and the Economics of Extremes 2002
Embrechts, Paul
 
Within econometrics, probability theory and statistics, an enormous literature exists on the topic of Extremes in Economics. See for instance Mikosch ...
Using Copulae to Bound the Value at Risk for Functions of Dependent Risks 2003
Embrechts, Paul
Hoeing, Andrea
Juri, Alessandro
 
The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk management. In the present paper we discuss some o...
Modelling Dependence with Copulas and Applications to Risk Management 2001
Embrechts, Paul
Lindskog, Filip
McNeil, Alexander
 
All quantitative models are based on assumptions vis-a-vis the markets on which they are to be applied. Standard hedging techniques require a high lev...
Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool 2000
Embrechts, Paul
 
Extreme Value Theory (EVT) is currently very much in the focus of interest in quantitative risk management. Originally conceived as the mathematical (...
Extreme Value Theory in Finance and Insurance 1999
Embrechts, Paul
 
I will try to summarize EVT's main potential input in insurance and banking. ...
Correlation and Dependence in Risk Management: Properties and Pitfalls 1999
Embrechts, Paul
McNeil, Alexander
Straumann, Daniel
 
Modern risk management calls for an understanding of stochastic dependence going beyond simple linear correlation. This paper deals with the static (n...
A Survival Kit on Quantile Estimation 1996
Bassi, Franco
Embrechts, Paul
Kafetzaki, Maria
 
Questions concerning risk management in finance and premium calculation in non-life insurance often involve quantile estimation. We give an introducti...
Correlation: Pitfalls and Alternatives 1999
Embrechts, Paul
McNeil, Alexander
Straumann, Daniel
 
This article will tell you when it is safe and unproblematic to use correlation in the way that you imagine you can use it, and when you should take c...
Extreme Value Theory as a Risk Management Tool 1999
Embrechts, Paul
Resnick, Sidney
Samorodnitsky, Gennady
 
The financial industry, including banking and insurance, is undergoing major changes. The (re)insurance industry is increasingly exposed to catastroph...
Extremes and Integrated Risk Management 2000
Embrechts, Paul
 
The first core reference on the latest developments in extreme value theory and its application in the the finance and insurance industry * Provides a...
Modelling Extremal Events for Insurance and Finance 2000
Embrechts, Paul
Kluppelberg, Claudia
Mikosch, Thomas
 
Both in insurance and finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data,...
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