Paul Embrechts

Swiss Federal Institute of Technology Zurich

ETH-Zentrum

CH-8092 Zurich

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

23

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Scholarly Papers (23)

1.
Downloads 442 ( 63,299)

Quantile-Based Risk Sharing

Forthcoming, Operations Research
Number of pages: 40 Posted: 10 Mar 2016 Last Revised: 30 Dec 2017
Paul Embrechts, Haiyan Liu and Ruodu Wang
Swiss Federal Institute of Technology Zurich, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 398 (71,140)

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Value-at-Risk, Expected Shortfall, risk sharing, regulatory capital, robustness

Quantile-Based Risk Sharing

Swiss Finance Institute Research Paper No. 17-54
Number of pages: 40 Posted: 10 Jan 2018
Paul Embrechts, Haiyan Liu and Ruodu Wang
Swiss Federal Institute of Technology Zurich, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 44 (409,535)

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Value-at-Risk, Expected Shortfall, risk sharing, regulatory capital, robustness, Arrow-Debreu equilibrium

2.

Model Uncertainty and VaR Aggregation

Journal of Banking and Finance, Vol. 37, No. 8, 2013
Number of pages: 19 Posted: 16 Oct 2014
Swiss Federal Institute of Technology Zurich, University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Freiburg
Downloads 270 (110,794)

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Copula, Fréchet class, Model Uncertainty, Operational Risk, Positive Dependence, Rearrangement Algorithm, Risk Aggregation, Value-at-Risk, VaR-bounds.

3.

Extreme-Quantile Tracking for Financial Time Series

Swiss Finance Institute Research Paper No. 11-27
Number of pages: 34 Posted: 12 Jul 2011
V. Chavez-Demoulin, Paul Embrechts and Sylvain Sardy
Swiss Federal Institute of Technology Zurich, Swiss Federal Institute of Technology Zurich and Ecole Polytechnique Fédérale de Lausanne
Downloads 244 (123,003)

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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

4.

Asset-Liability Management for Long-Term Insurance Business

Swiss Finance Institute Research Paper No. 17-69
Number of pages: 18 Posted: 21 Dec 2017 Last Revised: 09 Jan 2018
University of Lausanne, University of Alabama, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, University of Zurich - Department of Banking and Finance, University of Kaiserslautern - Department of Mathematics, University of Lyon 1 - Institute of Finance and Insurance Science (ISFA), Maastricht University, MunichRe, University of Muenster - Faculty of Economics and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 182 (162,471)

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asset-liability management, long-term insurance, valuation, insurance products, investments, models

5.

Old-Age Provision: Past, Present, Future

European Actuarial Journal, Forthcoming, Swiss Finance Institute Research Paper No. 16-55
Number of pages: 22 Posted: 17 Sep 2016 Last Revised: 20 Sep 2016
University of Lausanne, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, Georgia State University - J. Mack Robinson College of Business, University of Zurich - Department of Banking and Finance, University of Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Basel and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 148 (194,165)

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Pension funding gap, Demographic and societal challenges, Valuation of pension liabilities, Economic and regulatory capital models, Role of financial markets

6.

Quantile-Based Risk Sharing with Heterogeneous Beliefs

Swiss Finance Institute Research Paper No. 17-65
Number of pages: 30 Posted: 06 Dec 2017 Last Revised: 17 Jul 2018
Paul Embrechts, Haiyan Liu, Tiantian Mao and Ruodu Wang
Swiss Federal Institute of Technology Zurich, Michigan State University - Department of Mathematics, University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 95 (269,354)

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Risk Sharing, Competitive Equilibrium, Belief Heterogeneity, Quantiles, Non-Convexity, Risk Measures

7.

Robustness in the Optimization of Risk Measures

Number of pages: 29 Posted: 16 Oct 2018
Paul Embrechts, Alexander Schied and Ruodu Wang
Swiss Federal Institute of Technology Zurich, University of Mannheim and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 90 (280,771)

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robustness, Value-at-Risk, Expected Shortfall, optimization, financial regulation

8.

Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures

Finance Stochastics, Forthcoming
Number of pages: 26 Posted: 02 Feb 2015
Paul Embrechts, Bin Wang and Ruodu Wang
Swiss Federal Institute of Technology Zurich, Beijing University of Technology and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 89 (280,771)

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Value-at-Risk; Expected Shortfall; dependence uncertainty; risk aggregation; aggregation-robustness; inhomogeneous portfolio; Basel III

9.

Hawkes Graphs

Swiss Finance Institute Research Paper No. 17-44
Number of pages: 22 Posted: 10 Jan 2018
Paul Embrechts and Matthias Kirchner
Swiss Federal Institute of Technology Zurich and ETH Zurich - Department of Mathematics
Downloads 25 (483,986)

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10.

Bounds for Functions of Dependent Risks

Finance Stoch. 10(3), 341-352, 2006
Number of pages: 14 Posted: 05 Aug 2014
Paul Embrechts and Giovanni Puccetti
Swiss Federal Institute of Technology Zurich and University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)
Downloads 22 (500,558)

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copulas, dependent risks, dependency bounds, Fréchet bounds

11.

Smooth Extremal Models in Finance and Insurance

Journal of Risk and Insurance, Vol. 71, No. 2, pp. 183-199, June 2004
Number of pages: 17 Posted: 06 Jul 2004
V. Chavez-Demoulin and Paul Embrechts
Swiss Federal Institute of Technology Zurich and Swiss Federal Institute of Technology Zurich
Downloads 11 (564,333)
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12.

Copulas: A Personal View

Journal of Risk and Insurance, Vol. 76, Issue 3, pp. 639-650, September 2009
Number of pages: 12 Posted: 13 Oct 2009
Paul Embrechts
Swiss Federal Institute of Technology Zurich
Downloads 4 (608,057)
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13.

A Darwinian View on Internal Models

Journal of Risk, Vol. 20, No. 1, 2017
Number of pages: 22 Posted: 01 Nov 2017
Paul Embrechts
Swiss Federal Institute of Technology Zurich
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Basel Committee, Internal Models, Model Risk, Quantitative Risk Management, Robustness, Standard Models

14.

Modeling Operational Risk Depending on Covariates: An Empirical Investigation

Journal of Operational Risk, Vol. 13, No. 3, 2018
Number of pages: 30 Posted: 19 Sep 2018
Paul Embrechts, Kamil Mizgier and Xian Chen
Swiss Federal Institute of Technology Zurich, ETH Zurich - Department of Management, Technology and Economics and University of Oregon
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operational risk, dynamic extreme value theory (EVT), generalized additive models, covariates, internal control weaknesses.

15.

An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates

Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 735-776, 2016
Number of pages: 42 Posted: 09 Aug 2016
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), Swiss Federal Institute of Technology Zurich and ETH Zurich, RiskLab, Department of Mathematics
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16.

Change-Point Analysis for Dependence Structures in Finance and Insurance

In: Risk Measures for the 21st Century, Giorgio Szegoe (Ed.), Wiley Finance Series, 2004, pp. 321-335.
Posted: 11 Jul 2014
Alexandra Dias and Paul Embrechts
University of York and Swiss Federal Institute of Technology Zurich

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Copula, change-point, likelihood ratio, bootstrap

17.

The Art of Dependence Modelling: The Latest Advances in Correlation Analysis

In: Alternative Risk Strategies, Morton Lane (Ed.), Risk Books, London, 2002, pp. 339-356.
Posted: 11 Jul 2014
Peter Blum, Alexandra Dias and Paul Embrechts
Independent, University of York and Swiss Federal Institute of Technology Zurich

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Risk Management, copula

18.

Statistics and Quantitative Risk Management for Banking and Insurance

Annual Review of Statistics and Its Application, Vol. 1, Issue 1, pp. 493-514, 2014
Posted: 07 Mar 2014
Paul Embrechts and Marius Hofert
Swiss Federal Institute of Technology Zurich and ETH Zurich, RiskLab, Department of Mathematics

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19.

Risk Margin for a Non-Life Insurance Run-Off

The final version of this article has appeared as: Wuethrich M. V., Embrechts, P., Tsanakas, A. (2011), 'Risk margin for a non-life insurance run-off', Statistics & Risk Modeling, 28, p. 299-317.
Posted: 15 Aug 2011 Last Revised: 03 Jan 2014
Mario V. Wuthrich, Paul Embrechts and Andreas Tsanakas
RiskLab, ETH Zurich, Swiss Federal Institute of Technology Zurich and City University London - Cass Business School

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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

20.

Testing for Structural Changes in Exchange Rates Dependence Beyond Linear Correlation

The European Journal of Finance, Vol. 15, No. 7 & 8, pp. 619-37, 2009
Posted: 10 Sep 2010
Alexandra Dias and Paul Embrechts
University of York and Swiss Federal Institute of Technology Zurich

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Change-point tests, conditional dependence, copula, GARCH, risk management

21.

Modeling Exchange Rate Dependence Dynamics at Different Time Horizons

Journal of International Money and Finance, Vol. 29, pp. 1687-1705, 2010
Posted: 10 Sep 2010 Last Revised: 07 Mar 2011
Alexandra Dias and Paul Embrechts
University of York and Swiss Federal Institute of Technology Zurich

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Foreign exchange rates, Multivariate time series, Copula-GARCH, Conditional dependence, Dynamic copula

22.

Linear Correlation and Evt: Properties and Caveats

Journal of Financial Econometrics, Vol. 7, Issue 1, pp. 30-39, 2009
Posted: 03 Jan 2009
Paul Embrechts
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

23.

Extremes and Robustness: A Contradiction?

Financial Markets and Portfolio Management, Vol. 20, No. 1, pp. 103-118, 2006
Posted: 04 Apr 2006
Rosario Dell'Aquila and Paul Embrechts
ETH Zürich and 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