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Paul Embrechts
Researcher at ETH Zurich
Publications - 201
Citations - 27939
Paul Embrechts is an academic researcher from ETH Zurich. The author has contributed to research in topics: Risk management & Operational risk. The author has an hindex of 60, co-authored 199 publications receiving 26524 citations. Previous affiliations of Paul Embrechts include École Polytechnique Fédérale de Lausanne & University of London.
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Book
Modelling Extremal Events: for Insurance and Finance
TL;DR: In this article, an approach to Extremes via Point Processes is presented, and statistical methods for Extremal Events are presented. But the approach is limited to time series analysis for heavy-tailed processes.
Book
Quantitative Risk Management: Concepts, Techniques, and Tools
TL;DR: The most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management can be found in this paper, where the authors describe the latest advances in the field, including market, credit and operational risk modelling.
Book ChapterDOI
Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
TL;DR: This article deals with the static (nontime- dependent) case and emphasizes the copula representation of dependence for a random vector and the problem of finding multivariate models which are consistent with prespecified marginal distributions and correlations is addressed.
Journal ArticleDOI
Modelling of extremal events in insurance and finance
TL;DR: The relevant theory which may also be used in the wider context of Operation Research is reviewed, various applications from the field of insurance and finance are discussed and an extensive list of references are guided towards further material.