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Embrechts, Paul's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
152 |
Total
Citations
13 |
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1.
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Chavez-Demoulin, V.
Swiss Federal Institute of Technology Zurich Embrechts, Paul
Swiss Federal Institute of Technology Zurich Sardy, Sylvain
affiliation not provided to SSRN
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139
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bayesian analysis, Markov random field, financial time series, generalized pareto distribution, peaks-over-threshold, regime switching, statistics of extremes, value-at-risk
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2.
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Chavez-Demoulin, V.
Swiss Federal Institute of Technology Zurich Embrechts, Paul
Swiss Federal Institute of Technology Zurich
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10
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3
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3.
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Embrechts, Paul
Swiss Federal Institute of Technology Zurich
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3
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10
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4.
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Wuthrich, Mario V.
ETH Zurich, RiskLab, Department of Mathematics Embrechts, Paul
Swiss Federal Institute of Technology Zurich Tsanakas, Andreas
City University London - Cass Business School
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15 Aug 11
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Last Revised:
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05 Jul 12
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claims reserving, best-estimate reserves, run-off risks, risk margin, market value margin, one-year uncertainty, claims development result, market-consistent valuation
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5.
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Dias, Alexandra
University of Leicester School of Management Embrechts, Paul
Swiss Federal Institute of Technology Zurich
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Change-point tests, conditional dependence, copula, GARCH, risk management
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6.
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Dias, Alexandra
University of Leicester School of Management Embrechts, Paul
Swiss Federal Institute of Technology Zurich
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10 Sep 10
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Last Revised:
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07 Mar 11
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Foreign exchange rates, Multivariate time series, Copula-GARCH, Conditional dependence, Dynamic copula
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7.
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Embrechts, Paul
Swiss Federal Institute of Technology Zurich
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C02, C40, C65, G32, copulas, credit risk, dependence modeling, extreme value theory, linear correlation, subprime crisis, quantitative risk management, value-at-risk
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8.
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Dell'Aquila, Rosario
Swiss Federal Institute of Technology Zurich Embrechts, Paul
Swiss Federal Institute of Technology Zurich
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Robust statistics, robust estimation, M-estimator, extreme value theory, extreme value distributions, generalized Pareto distribution
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Records 1 -
8
of 8 matches
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