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How to model operational risk if you must

Embrechts, Paul - In: Operations research proceedings 2006 : selected papers …, (pp. 81). 2007

Persistent link: https://www.econbiz.de/10003470262

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

Modelling of extremal events in insurance and finance

Embrechts, Paul - In: Zeitschrift für Operations-Research : ZOR ; … 39 (1994) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001161685

Simulating risk solvency

Embrechts, Paul - In: Insurance / Mathematics & economics 9 (1990) 2, pp. 141-148

Persistent link: https://www.econbiz.de/10001104197

Ruin estimates for large claims

Embrechts, Paul - In: Insurance / Mathematics & economics 7 (1988) 4, pp. 269-274

Persistent link: https://www.econbiz.de/10001069441

Using copulae to bound the Value-at-Risk for functions of dependent risks

Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-167

Persistent link: https://www.econbiz.de/10001762730

Ruin theory revisited : stochastic models for operational risk

Embrechts, Paul; Kaufmann, Roger; Samorodnitsky, Gennady - In: Risk management for central bank foreign reserves, (pp. 243-261). 2004

Persistent link: https://www.econbiz.de/10002111520

Modelling dependence with copulas and applications to risk management

Embrechts, Paul; Lindskog, Filip; McNeil, Alexander J. - In: Handbook of heavy tailed distributions in finance, (pp. 329-384). 2003

Persistent link: https://www.econbiz.de/10001882115

Quantitative risk management : concepts, techniques and tools

McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005

Persistent link: https://www.econbiz.de/10002934295

Quantile-Based Risk Sharing

Embrechts, Paul - 2017

We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected Shortfall (ES), the two popular and competing...

Persistent link: https://www.econbiz.de/10012969842