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A Darwinian view on internal models

Embrechts, Paul - In: Journal of risk 20 (2017/2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011847418

The walls came tumbling down

Embrechts, Paul - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 2, pp. 211-213

Persistent link: https://www.econbiz.de/10013342098

Robustness in the optimization of risk measures

Embrechts, Paul; Schied, Alexander; Wang, Ruodu - In: Operations research 70 (2022) 1, pp. 95-110

Persistent link: https://www.econbiz.de/10012820643

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

Quantile-based risk sharing

Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - In: Operations research 66 (2018) 4, pp. 936-949

Persistent link: https://www.econbiz.de/10011916624

Old-age provision : past, present, future

Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; … - 2016

This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2015. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss the past and current developments and necessary next steps for dealing with...

Persistent link: https://www.econbiz.de/10011619154

An extreme value approach for modeling operational risk losses depending on covariates

Chavez-Demoulin, Valérie; Embrechts, Paul; Hofert, Marius - In: The journal of risk and insurance : the journal of the … 83 (2016) 3, pp. 735-776

Persistent link: https://www.econbiz.de/10011561307

Modeling operational risk depending on covariates : an empirical investigation

Embrechts, Paul; Mizgier, Kamil J.; Chen, Xian - In: The journal of operational risk 13 (2018) 3, pp. 17-46

Persistent link: https://www.econbiz.de/10011962172

Risk measures and dependence modeling

Embrechts, Paul; Hofert, Marius - In: Handbook of Insurance : Volume II, (pp. 95-126). 2025

Persistent link: https://www.econbiz.de/10015394058