D-Index & Metrics Best Publications

D-Index & Metrics

Discipline name D-index D-index (Discipline H-index) only includes papers and citation values for an examined discipline in contrast to General H-index which accounts for publications across all disciplines. Citations Publications World Ranking National Ranking
Economics and Finance D-index 51 Citations 38,617 108 World Ranking 655 National Ranking 13

Research.com Recognitions

Awards & Achievements

2014 - Fellow of the American Statistical Association (ASA)

Overview

What is he best known for?

The fields of study he is best known for:

  • Statistics
  • Random variable
  • Finance

His primary areas of investigation include Econometrics, Actuarial science, Risk management, Operational risk and Value at risk. His research in Econometrics intersects with topics in Comonotonicity, Advanced measurement approach, Multivariate statistics and Risk measure. Paul Embrechts specializes in Actuarial science, namely Financial risk.

In his work, Enterprise risk management, Actuary and Market risk is strongly intertwined with Credit risk, which is a subfield of Risk management. His Operational risk research incorporates themes from Capital requirement, Basel II, Financial services and Quantitative risk assessment software. The study incorporates disciplines such as Economic geography and Extreme value theory in addition to Value at risk.

His most cited work include:

  • Modelling Extremal Events: for Insurance and Finance (3444 citations)
  • Modelling Extremal Events (2873 citations)
  • Quantitative Risk Management: Concepts, Techniques, and Tools (2223 citations)

What are the main themes of his work throughout his whole career to date?

His main research concerns Econometrics, Actuarial science, Risk management, Value at risk and Operational risk. His research integrates issues of Financial services, Extreme value theory and Portfolio in his study of Econometrics. His Actuarial science research is multidisciplinary, incorporating elements of Financial risk management, Liability and Coherent risk measure.

His Risk management study combines topics in areas such as Risk measure and Basel II. Paul Embrechts works mostly in the field of Operational risk, limiting it down to topics relating to Mathematical finance and, in certain cases, Credit derivative, as a part of the same area of interest. His research investigates the link between Financial risk and topics such as Market risk that cross with problems in Actuary.

He most often published in these fields:

  • Econometrics (43.22%)
  • Actuarial science (30.93%)
  • Risk management (23.73%)

What were the highlights of his more recent work (between 2016-2021)?

  • Expected shortfall (15.68%)
  • Econometrics (43.22%)
  • Uncertainty quantification (7.20%)

In recent papers he was focusing on the following fields of study:

The scientist’s investigation covers issues in Expected shortfall, Econometrics, Uncertainty quantification, Quantile and Optimization problem. His Expected shortfall research focuses on Value at risk and how it connects with Capital requirement and Robustness. The Econometrics study which covers Operational risk that intersects with Generalized additive model and Covariance.

His biological study spans a wide range of topics, including Multivariate statistics, Vine copula and Polynomial chaos. His work on Coherent risk measure and Financial risk management as part of general Risk management study is frequently connected to Factor analysis of information risk, therefore bridging the gap between diverse disciplines of science and establishing a new relationship between them. He usually deals with Coherent risk measure and limits it to topics linked to Actuarial science and Liability and Valuation.

Between 2016 and 2021, his most popular works were:

  • Quantile-Based Risk Sharing (46 citations)
  • A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas (34 citations)
  • A general framework for data-driven uncertainty quantification under complex input dependencies using vine copulas (34 citations)

In his most recent research, the most cited papers focused on:

  • Statistics
  • Random variable
  • Probability distribution

His scientific interests lie mostly in Expected shortfall, Uncertainty quantification, Polynomial chaos, Statistical model and Financial services. His Expected shortfall study incorporates themes from Financial risk management, Value at risk and Quantile, Econometrics. His Value at risk research is under the purview of Risk management.

His studies in Uncertainty quantification integrate themes in fields like First-order reliability method, Probabilistic logic, Copula, Vine copula and Algorithm. Paul Embrechts combines subjects such as Pointwise and Polynomial with his study of Statistical model. His work carried out in the field of Financial services brings together such families of science as Measure, Optimization problem, Equilibrium pricing and Competitive equilibrium.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

Modelling Extremal Events: for Insurance and Finance

Paul Embrechts;Thomas Mikosch;Claudia Klüppelberg.
(1997)

8984 Citations

Quantitative risk management: Concepts, techniques and tools: Revised edition

Alexander J. McNeil;Rüdiger Frey;Paul Embrechts.
Research Papers in Economics (2015)

5968 Citations

Modelling Extremal Events

Paul Embrechts;Claudia Klüppelberg;Thomas Mikosch.
(1997)

5208 Citations

Quantitative Risk Management: Concepts, Techniques, and Tools

Alexander J. McNeil;Rdiger Frey;Paul Embrechts.
(2005)

3594 Citations

Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls

Paul Embrechts;Alexander J. McNeil;Daniel Straumann.
(2002)

2596 Citations

Chapter 8 – Modelling Dependence with Copulas and Applications to Risk Management

Paul Embrechts;Filip Lindskog;Alexander Mcneil.
Handbook of Heavy Tailed Distributions in Finance (2003)

1347 Citations

Quantitative Risk Management

Paul Embrechts.
(2010)

1012 Citations

Correlation: Pitfalls and Alternatives

Paul Embrechts;Alexander McNeil;Daniel Straumann.
(1999)

644 Citations

Extreme Value Theory as a Risk Management Tool

Paul Embrechts;Sidney I. Resnick;Gennady Samorodnitsky.
The North American Actuarial Journal (1999)

622 Citations

Dependence structures for multivariate high-frequency data in finance

Wolfgang Breymann;Alexandra Dias;Paul Embrechts.
Quantitative Finance (2003)

587 Citations

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