- Aggregating Risk Capital, with an Application to Operational Risk
- Using Copulae to bound the Value-at-Risk for functions of dependent risks
- Multivariate Extremes and the Aggregation of Dependent Risks: Examples and Counter-Examples
- Dependence Structures for Multivariate HighFrequency Data in Wolfgang Breymann
- Modelling Dependence with Copulas and Applications to Risk Management
- Applied Probability Trust (7 March 2011) TITLE Multivariate Hawkes Processes: an Application to Financial Data.
- Using Copulae to bound the ValueatRisk for functions of dependent risks
- Ruin Theory Revisited: Stochastic Models for Operational Risk
- Lithuanian Mathematical Journal, Vol. 51, No. 2, April, 2011, pp. 180193 PRACTICES AND ISSUES IN OPERATIONAL RISK MODELING
- A note on generalized inverses Paul Embrechts1
- Revisiting the edge, ten years on Valerie Chavez-Demoulin
- Meta densities and the shape of their sample clouds Guus Balkema Paul Embrechts Natalia Lysenko
- Modeling exchange rate dependence dynamics at different time horizons
- The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
- Risk Aggregation Paul Embrechts and Giovanni Puccetti
- Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
- TESTING FOR STRUCTURAL CHANGES IN EXCHANGE RATES DEPENDENCE BEYOND LINEAR CORRELATION
- Applied Probability Trust (10 October 2007) AGGREGATING RISK ACROSS MATRIX STRUCTURED LOSS DATA: THE
- The Quantitative Modeling of Operational Risk: Between g-and-h and EVT
- Infinite Mean Models and the LDA for Operational Johanna Neslehova
- Quantitative Models for Operational Risk: Extremes, Dependence and Aggregation
- Paul Embrechts Giovanni Puccetti Bounds for Functions of Multivariate Risks
- Worst VaR Scenarios Paul Embrechts
- A statistical analysis of the shareprice of the SAIR group (1996-2001) from a risk manager's point of view.
- Casualty Actuarial Society 2001 Reinsurance Call for Papers Using Dynamic Financial Analysis to Optimize Ceded Reinsurance Programs and Retained Portfolios
- 26 NAW 5/4 nr. 1 maart 2003 The Wizards of Wall Street: did mathematics change finance? Paul Embrechts Paul Embrechts
- Changepoint analysis for dependence structures in finance and insurance \Lambda
- An introduction to the theory of selfsimilar stochastic processes
- Risk Margin for a Non-Life Insurance Run-Off Mario V. Wuthrich
- Modelling multivariate extremes Paul Embrechts
- Modelling Dependence with Copulas and Applications to Risk Management
- Extreme value theory as a risk management tool \Lambda Paul Embrechts, Sidney I. Resnick and Gennady Samorodnitsky
- On Esscher Transforms in Discrete Finance Models Hans Buhlmann, Freddy Delbaen, Paul Embrechts
- HARCH processes are heavy tailed Paul Embrechts (embrechts@math.ethz.ch)
- Fin Mkts Portfolio Mgmt (2006) 20:103118 DOI 10.1007/s11408-006-0002-x
- EXTREME VALUE THEORY: POTENTIAL AND LIMITATIONS AS AN INTEGRATED RISK MANAGEMENT TOOL
- Applied Probability Trust (January 27, 2011) SCALING OF HIGH-QUANTILE ESTIMATORS
- 26 NAW 5/4 nr. 1 maart 2003 The Wizards of Wall Street: did mathematics change finance? Paul Embrechts Paul Embrechts
- Actuarial versus nancial pricing of insurance 1
- A survival kit on quantile estimation Questions concerning risk management in finance and premium cal
- Extremes in Economics and the Economics of Paul Embrechts
- A statistical analysis of the shareprice of the SAIR group (19962001) from a risk manager's point of view.
- Dependence Structures for Multivariate High--Frequency Data in Wolfgang Breymann # , Alexandra Dias + , Paul Embrechts
- QUANTIFYING REGULATORY CAPITAL FOR OPERATIONAL RISK
- Strategic Long-Term Financial Risks: Single Risk Factors
- PANJER RECURSION VERSUS FFT FOR COMPOUND DISTRIBUTIONS
- The shape of asymptotic dependence Guus Balkema, Paul Embrechts and Natalia Nolde
- Multivariate excess distributions Guus Balkema
- Extreme VaR scenarios in higher dimensions Paul Embrechts a
- Strategic LongTerm Financial Risks: Single Risk Factors
- Bernoulli 17(2), 2011, 562591 DOI: 10.3150/10-BEJ284
- SCALING OF HIGH-QUANTILE ESTIMATORS MATTHIAS DEGEN AND PAUL EMBRECHTS,
- Different Kinds of Risk Paul Embrechts1
- Mathematical Models in Finance P. Embrechts, Department of Mathematics, ETH Zurich, Switzerland
- The ART of dependence modelling: the latest advances in correlation analysis.
- Bounds for functions of dependent risks Paul Embrechts1
- The GAEP algorithm for the fast computation of the distribution of a function of dependent
- An EVT primer for credit risk Valerie Chavez-Demoulin
- RECURSIVE ESTIMATION OF DISTRIBUTIONAL PAUL EMBRECHTS, \Lambda ETH Zurich
- Smooth Extremal Models in Finance and Insurance V. Chavez{Demoulin and P. Embrechts
- Ruin Theory Revisited: Stochastic Models for Operational Risk
- RUIN PROBLEM, OPERATIONAL RISK AND HOW FAST STOCHASTIC PROCESSES MIX
- Bounds for the sum of dependent risks having overlapping marginals Paul Embrechtsa
- Advanced Extremal Models for Operational Risk V. Chavez-Demoulin and P. Embrechts
- Applied Probability Trust (February 13, 2008) EVT-BASED ESTIMATION OF RISK CAPITAL AND CONVER-
- The AEP algorithm for the fast computation of the distribution of the sum of dependent random
- Copulas: A personal view Paul Embrechts
- An Academic Response to Basel II Jn Danelsson, Paul Embrechts,
- Stochastic Processes in Insurance and Finance Paul Embrechts, Rudiger Frey, Hansjorg Furrer
- Extremes in Economics and the Economics of Paul Embrechts
- Extreme-quantile tracking for financial time series V. Chavez-Demoulin1
- Risk Margin for a Non-Life Insurance Run-Off Mario V. Wuthrich
- The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
