Paul Embrechts
Professor
Department of Mathematics
Swiss Finance Institute
Switzerland
Biography
Paul Embrechts is Professor of Mathematics at ETH Zurich. He joined SFI in 2007 and has held an SFI Senior Chair since 2009. Prof. Embrechts’ research has been published in top academic journals worldwide and featured in international media. He is a regular speaker at leading international conferences in risk management aimed at both academics and industry professionals. He also serves on the editorial boards of several international journals and is a member of numerous international advisory panels. Prof. Embrechts is the director of RiskLab. Founded in 1994, RiskLab is a center for studies in the areas of insurance mathematics and quantitative risk management (QRM).
Research Interest
Modelling of extremal events in insurance and finance and on statistical methods for QRM.
Publications
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Quantitative Risk Management: Concepts, Techniques and Tools
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Embrechts P, Wang B, Wang R (2015) Aggregation-robustness and Model Uncertainty of Regulatory Risk Measures. Finance and Stochastics 19:763-790.
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Chavez-Demoulin V, Embrechts P, Hofert M An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates. Journal of Risk and Insurance forthcoming.
