Paul Embrechts

Some Selected Papers

• 2010. Dias, A., Embrechts, P.: Modeling exchange rate dependence at different time horizons. PDF
• 2009. Donnelly, C., Embrechts, P.: The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. To appear in ASTIN Bulletin PDF
• 2009. Embrechts, P., Puccetti, G.: Risk Aggregation. To appear in Workshop on Copula Theory and its Applications, F. Durante, W. Haerdle, P. Jaworski, and T. Rychlik (Eds.) Lecture Notes in Statistics - Proceedings, Springer Berlin/Heidelberg PDF
• 2009. Chavez-Demoulin, V. Embrechts, P.: An EVT primer for credit risk. To appear in: Lipton, A. and Rennie, A. (Editors) (2010) Handbook of Credit Derivatives, Oxford University Press PDF
• 2009. Arbenz, P., Embrechts, P., Puccetti, P.: The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables. Submitted PDF
• 2009. Embrechts, P., Degen, M.: Scaling of high-quantile estimators. Submitted PDF
• 2009. Balkema, G., Embrechts, P., Lysenko, N.: Meta densities and the shape of their sample clouds. Submitted PDF
• 2009. Chavez-Demoulin, V., Embrechts, P.: Revisiting the edge, ten years on. To appear in Communications in Statistics - Theory and Methods PDF
• 2009. Embrechts, P., Puccetti, G.: Bounds for the sum of dependent risks having overlapping marginals. Journal of Multivariate Analysis 101, 177-190 PDF
• 2009. Embrechts, P.: Copulas: A personal view. Journal of Risk and Insurance 76, 639-650 PDF
• 2009. Embrechts, P., Neslehova, J., Wüthrich, M.V.: Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness. Insurance: Mathematics and Economics 44, 164-169 PDF
• 2009. Embrechts, P., Lambrigger, D.D., Wüthrich, M.V.: Multivariate extremes and the aggregation of dependent risks: examples and counter-examples. Extremes 12, 107-127 PDF
• 2009. Embrechts, P., Furrer, H., Kaufmann, R.: Different Kinds of Risk in Handbook of Financial Time Series, Eds. Andersen, Davis, Kreiss, and Mikosch, pp. 729-751 PDF
• 2009. Embrechts, P., Frei, M.: Panjer recursion versus FFT for compound distributions. Mathematical Methods of Operations Research 69(3), 497-508. PDF
• 2009. Dias, A., Embrechts, P.: Testing for structural changes in exchange rates dependence beyond linear correlation. European Journal of Finance 15(7), 619-637 PDF
• 2008. Degen, M., Embrechts, P.: EVT-based estimation of risk capital and convergence of high quantiles. Advances in Applied Probability 40(3), 696-715 PDF
• 2008. Embrechts, P., Puccetti, G.: Aggregating risk across matrix structured loss data: the case of operational risk. Journal of Operational Risk 3(2), 29-44. PDF
• 2007. Balkema, G. and Embrechts, P. High Risk Scenarios and Extremes. A geometric approach Zurich Lectures in Advanced Mathematics, European Mathematical Society Publishing House, 388 pages. For more information, see European Mathematical Society
• 2007. Degen, M., Embrechts, P., Lambrigger, D.D.: The quantitative modeling of operational risk: between g-and-h and EVT Astin Bulletin 37(2), 265-291 PDF
• 2006. Dell'Aquila, R., Embrechts, P.: Extremes and robustness: a contradiction? Financial Markets and Portfolio Management 20, 103-118 PDF
• 2006. Embrechts, P., Höing, A.: Extreme VaR scenarios in higher dimensions. Extremes 9, 177-192 PDF
• 2006. Neslehova, J., Embrechts, P., Chavez-Demoulin, V.: Infinite mean models and the LDA for operational risk Journal of Operational Risk 1(1), 3-25 PDF
• 2006. Chavez-Demoulin, V., Embrechts, P., Neslehova, J.: Quantitative models for operational risk: extremes, dependence and aggregation, Journal of Banking and Finance 30(10), 2635-2658 PDF
• 2006. Embrechts, P, Puccetti, G.: Bounds for functions of multivariate risks Journal of Multivariate Analysis 97(2), 526-547 PDF
• 2006. Embrechts, P, Puccetti, G.: Aggregating risk capital, with an application to operational risk The Geneva Risk and Insurance Review 31(2), 71-90 PDF
• 2006. Embrechts, P, Puccetti, G.: Bounds for functions of dependent risks Finance and Stochastics, 10, 341-352 PDF
• 2005. Embrechts, P., Kaufmann, R., Patie, P.: Strategic long-term financial risks: single risk factors Computational Optimization and Applications 32(1/2), 61-90 Postscript, PDF
• 2005. Embrechts, P., Höing, A., Puccetti, G.: Worst VaR Scenarios Insurance: Mathematics and Economics 37(1), 115-134 PDF
• 2004. Embrechts, P., Kaufmann, R., Samorodnitsky, G.: Ruin theory revisited: stochastic models for operational risk. In: Risk Management for Central Bank Foreign Reserves (Eds. C. Bernadell et al.) European Central Bank, Frankfurt a.M., 243-261 Postscript, PDF
• 2004. Embrechts, P.: Extremes in economics and the economics of extremes. In: Extreme Values in Finance, Telecommunications and the Environment (Eds. B. Finkenstädt and H. Rootzén), Chapman and Hall CRC, London, 169-183 Postscript, PDF
• 2004. Chavez-Demoulin, V., Embrechts, P.: Advanced extremal models for operational risk PDF
• 2004. Embrechts, P., Balkema, G.: Multivariate excess distributions PDF
• 2004. Embrechts, P., Chavez-Demoulin, V.: Smooth extremal models in finance and insurance The Journal of Risk and Insurance 71(2), 183-199 Postscript, PDF
• 2004. Dias, A., Embrechts, P.: Change-point analysis for dependence structures in finance and insurance In: Risk Measures for the 21st Century, ed. by Giorgio Szegoe, Wiley Finance Series, Chapter 16, pp. 321-335 Postscript,  PDF
• 2003. Embrechts, P., Furrer, H., Kaufmann, R. Quantifying regulatory capital for operational risk Derivatives Use, Trading & Regulation 9(3), 217-233 Postscript, PDF
• 2003. Embrechts, P., Lindskog, F., McNeil, A.: Modelling Dependence with Copulas and Applications to Risk Management In: Handbook of Heavy Tailed Distributions in Finance, ed. S. Rachev, Elsevier, Chapter 8, pp. 329-384 Postscript, PDF
• 2003. Embrechts, P.: Johann Bernoulli lecture: The Wizards of Wall Street: did mathematics change finance? Nieuw Archief voor Wiskunde 5/4, 26-33 Postscript, PDF
• 2003. Embrechts, P., Samorodnitsky, G.: Ruin problem and how fast stochastic processes mix The Annals of Applied Probability 13, 1-36 Postscript, PDF
• 2003. Breymann, W., Dias, A., Embrechts, P.: Dependence structures for multivariate high-frequency data in finance Quantitative Finance 3(1), 1-16 Postscript, PDF
• 2003. Embrechts, P., Hoeing, A., Juri, A.: Using Copulae to bound the Value-at-Risk for functions of dependent risks Finance & Stochastics 7(2), 145-167 Postscript, PDF
• 2002. Blum, P., Dias, A., Embrechts, P.: The ART of dependence modelling: the latest advances in correlation analysis In: Alternative Risk Strategies, ed. Morton Lane, Risk Books, London, pp. 339-356 Postscript, PDF
• 2002. Chavez-Demoulin, V., Embrechts, P., Roehrl, A.: A statistical analysis of the shareprice of the SAIR group (1996-2001) from a risk manager's point of view Derivatives Use, Trading & Regulation 8, 105-122 Postscript, PDF
• 2002. Embrechts, P., McNeil, A., Straumann, D.: Correlation and dependence in risk management: properties and pitfalls In: Risk Management: Value at Risk and Beyond, ed. M.A.H. Dempster, Cambridge University Press, Cambridge, pp. 176-223 Postscript, PDF
• 2001. Blum, P., Dacorogna, M., Embrechts, P., Neghaiwi, T., Niggli, H.: Using DFA for modelling the impact of foreign exchange risks on reinsurance decisions In: Casuality Actuarial Society Forum, Summer 2001 PDF
• 2001. Embrechts, P. et al.: An Academic Response to Basel II. Financial Markets Group, London School of Economics Postscript, PDF www.bis.org
• 2001. Embrechts, P, Frey, R, Furrer, H: Stochastic Processes in Insurance and Finance In: Handbook of Statistics, vol. 19 'Stochastic Processes: Theory and Methods', Elsevier Science, Amsterdam, pp. 365-412 Postscript, PDF
• 2000. Embrechts, P., Mikosch, T.: Mathematical Models in Finance. Postscript, PDF
• 2000. Embrechts, P.: Actuarial versus financial pricing of insurance. Risk Finance 1, no. 4, 17-26 Postscript, PDF
• 2000. Embrechts, P., Maejima, M.: An introduction to the theory of selfsimilar stochastic processes International Journal of Modern Physics B 14, 1399-1420 Postscript, PDF
• 2000. Embrechts, P.: Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool Derivatives Use, Trading & Regulation 6, 449-456 Postscript, PDF
• 2000. Embrechts, P, Walk, H.: Recursive estimation of distributional fix-points Journal of Applied Probability 37, 73-87 Postscript, PDF
• 2000. Embrechts, P., Haan, L. de, Huang, X.: Modelling multivariate extremes Extremes and Integrated Risk Management (Ed. P. Embrechts) RISK Books, 59-67 Postscript, PDF
• 1999. Embrechts, P., McNeil, A., Straumann, D.: Correlation: Pitfalls and alternatives A short, non-technical article, RISK Magazine, May, 69-71 Postscript,  PDF
• 1999. Embrechts P, Resnick S, Samorodnitsky, G: Extreme value theory as a risk management tool North American Actuarial Journal 3, 30-41 Postscript
• 1998. Embrechts, P, Gruebel, R.: HARCH processes are heavy tailed Extremes 2:1 (1999) 87-93 Postscript, PDF
• 1998. Bassi F, Embrechts P, Kafetzaki M: Risk management and quantile estimation In: A Practical Guide to Heavy Tails, eds. R.J. Adler et al., Boston, Birkhaeuser, pp. 111-130 Postscript
• 1998. Buehlmann, H., Delbaen, F., Embrechts P, Shiryaev, A.: On Esscher Transforms in Discrete Finance Models ASTIN Bulletin 28, 171-186 Postscript
• 1998. Embrechts P, Resnick S, Samorodnitsky, G.: Living on the Edge RISK, January 1998, 96-100. Also published in: Hedging with Trees: Advances in Pricing and Risk Managing Derivatives, M. Broadie and P. Glasserman (eds.), Risk Books, New York, pp. 239-243 Postscript

Monographs

• 2008. McNeil, A.J., Frey, R. and Embrechts, P. Quantitative Risk Management: Concepts, Techniques and Tools Japanese translation published by arrangement with Princeton University Press.
• 2007. Balkema, G. and Embrechts, P. High Risk Scenarios and Extremes. A geometric approach Zurich Lectures in Advanced Mathematics, European Mathematical Society Publishing House, 388 pages. For more information, see European Mathematical Society
• 2005. McNeil, A.J., Frey, R. and Embrechts, P. Quantitative Risk Management: Concepts, Techniques, Tools Princeton Series in Finance, 608 pages Princeton University Press
• 2002. Embrechts, P. and Maejima, M. Selfsimilar Processes Princeton University Press book
• 2003. Embrechts, P. Klüppelberg, C. and Mikosch, T. Modelling Extremal Events for Insurance and Finance Springer-Verlag, 648 pages, corr. 4th printing, 1st ed. 1997 book