2014 - Fellow of the American Statistical Association (ASA)
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 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.
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.
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.
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Modelling Extremal Events: for Insurance and Finance
Paul Embrechts;Thomas Mikosch;Claudia Klüppelberg.
Quantitative risk management: Concepts, techniques and tools: Revised edition
Alexander J. McNeil;Rüdiger Frey;Paul Embrechts.
Research Papers in Economics (2015)
Modelling Extremal Events
Paul Embrechts;Claudia Klüppelberg;Thomas Mikosch.
Quantitative Risk Management: Concepts, Techniques, and Tools
Alexander J. McNeil;Rdiger Frey;Paul Embrechts.
Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
Paul Embrechts;Alexander J. McNeil;Daniel Straumann.
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)
Quantitative Risk Management
Correlation: Pitfalls and Alternatives
Paul Embrechts;Alexander McNeil;Daniel Straumann.
Extreme Value Theory as a Risk Management Tool
Paul Embrechts;Sidney I. Resnick;Gennady Samorodnitsky.
The North American Actuarial Journal (1999)
Dependence structures for multivariate high-frequency data in finance
Wolfgang Breymann;Alexandra Dias;Paul Embrechts.
Quantitative Finance (2003)
Insurance: Mathematics and Economics
(Impact Factor: 2.168)
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