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Paul Embrechts
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.
| Contact: | | Email address secured by Enkoder. | | Phone | +41 44 632 34 19 | | Fax | +41 44 632 15 23 | | e-mail |
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Publications: that are posted on DefaultRisk.com Credit Modeling An EVT Primer for Credit Risk
by Valérie Chavez-Demoulin of EPF Lausanne, and
Paul Embrechts of ETH Zurich
(825K PDF) -- 46 pages -- May 25, 2009 Credit Correlation Embrechts, Paul, Andrea Höing, and Alessandro Juri, "Using Copulae to Bound the Value-at-Risk for Functions of Dependent Risks", Finance and Stochastics, Vol. 7, No. 2, (April 2003), 145-167. 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 Multivariate Extremes and the Aggregation of Dependent Risks: Examples and counter-examples
by Paul Embrechts of ETH Zurich,
Dominik D. Lambrigger of ETH Zurich, and
Mario V. Wüthrich of ETH Zurich
(509K PDF) -- 28 pages -- February 12, 2009 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 Model Testing / Stress Testing Embrechts, Paul, Andrea Höing, Giovanni Puccetti, "Worst VaR Scenarios", Insurance: Mathematics and Economics, Vol. 37, No. 1, (August 2005), pp. 115-134. Other Credit Scaling Of High-Quantile Estimators
by Matthias Degen of ETH Zurich, and
Paul Embrechts of ETH Zurich
(275K PDF) -- 28 pages -- March 2009 Additivity Properties for Value-at-Risk under Archimedean Dependence and Heavy-tailedness
by Paul Embrechts of ETH Zurich,
Johanna Nešlehová of ETH Zurich, and
Mario V. Wüthrich of ETH Zurich
(225K PDF) -- 17 pages -- Spring 2009 Quantitative Methods Bounds for Functions of Dependent Risks
by Paul Embrechts of ETH Zurich, and
Giovanni Puccetti of University of Firenze
(391K PDF) -- 14 pages -- September 2006 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
(208K PDF) -- 12 pages -- April 1999 Books & Chapters:  | Handbook of Financial Time Series
by Torben G. Andersen (Editor), Richard A. Davis (Editor), Jens-Peter Kreiß (Editor), Thomas Mikosch (Editor), Springer, May 20, 2009, Hardcover, 1050 pages |  | 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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