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Paul EmbrechtsMember: Fitch Academic Advisory Board. ETH Zurich -- Department of Mathematics ETH-Zentrum, HG G 37.1 CH-8092 Zürich Switzerland - Catholic University of Leuven , Dr. Sc. (Math) (1979)
- Prof. Dr. Embrechts is Professor of Mathematics at the ETHZ (Swiss Federal Institute of Technology, Zurich) specializing in actuarial mathematics and quantitative risk management. Previous academic positions include the Universities of Leuven, Limburg and London (Imperial College, and the London School of Economics).
- Stochastic modeling of extremal events in insurance and finance. Dynamic Financial Analysis: Asset Liability Management for non-life insurance. Econometric models for tick-by-tick multivariate data in finance. Actuarial risk theory. Quantitative risk management. Modeling of dependence beyond linear correlation. Aggregation of risk measures. Extreme value theory and its applications.
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Publications: that are posted on DefaultRisk.comCredit Correlation Modelling Dependence with Copulas and Applications to Risk Management by Paul Embrechts of the Department of Mathematics ETHZ, Filip Lindskog of the Department of Mathematics ETHZ, and Alexander McNeil of the Department of Mathematics ETHZ (538K PDF) -- 50 pages -- September 10, 2001 Correlation and Dependence in Risk Management: Properties and Pitfalls by Paul Embrechts of ETH-Zentrum, Alexander McNeil of ETH-Zentrum, and Daniel Straumann of ETH-Zentrum (533K PDF) -- 37 pages -- August 9, 1999 Correlation: Pitfalls and Alternatives by Paul Embrechts of the ETH Zentrum, Alexander McNeil of the ETH Zentrum, and Daniel Straumann of the ETH Zentrum (302K PDF) -- 8 pages -- March 1999 Credit Correlation Extreme VaR Scenarios in Higher Dimensions by Paul Embrechts of ETH Zürich, and Andrea Höing of ETH Zürich (1,716K PDF) –- 16 pages -- February 10, 2006 Infinite Mean Models and the LDA for Operational Risk by Johanna Nešlehová of ETH Zurich Paul Embrechts of ETH Zurich, and Valérie Chavez-Demoulin of ETH Zurich (467K PDF) -– 28 pages -- February 2006 Quantitative Methods Bounds for Functions of Dependent Risks by Paul Embrechts of ETH Zurich, and Giovanni Puccetti of the University of Firenze (391K PDF) –- 14 pages -- September 2005 Bounds for Functions of Multivariate Risks by Paul Embrechts of ETH Zurich, and Giovanni Puccetti of the University of Firenze (74K PDF) –- 23 pages -- April 4, 2005 Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool by Paul Embrechts of ETH Zurich (182K PDF) -– 12 pages -- January 2000 Extreme Value Theory as a Risk Management Tool by Paul Embrechts of ETH Zürich, Sidney I. Resnick of Cornell University, and Gennady Samorodnitsky of Cornell University (397K PDF) –- 22 pages -- April 1999 Books: | Quantitative Risk Management: Concepts, Techniques, and Tools (Princeton Series in Finance) by Alexander J. McNeil, Rüdiger Frey, Paul Embrechts, Princeton University Press, (September 26, 2005), Hardcover, 608 pages |  | Modelling Extremal Events for Insurance and Finance by Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch, Springer, (October 15, 2004), Hardcover, 655 pages |  | Selfsimilar Processes (Princeton Series in Applied Mathematics) by Paul Embrechts and Makoto Maejima, Princeton University Press, (July 16, 2002), Hardcover, 152 pages |  | Extremes and Integrated Risk Management by Paul Embrechts (editor), Risk Books, (August, 2, 2000), Hardcover, 270 pages |
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