Hostname: page-component-78c5997874-ndw9j Total loading time: 0 Render date: 2024-11-10T16:41:04.247Z Has data issue: false hasContentIssue false
  • English
  • Français

How to Model Operational Risk, If You Must. Lecture to The Faculty of Actuaries

Published online by Cambridge University Press:  10 June 2011

P. Embrechts
P. Embrechts
Affiliation:
Swiss Federal Institute of Technology, Zurich
Get access Rights & Permissions [Opens in a new window]

Introduction

The second Lecturer to the Faculty of Actuaries is Professor Paul Embrechts, Professor of Mathematics at the ETH Zurich (Swiss Federal Institute of Technology, Zurich), specialising in actuarial mathematics and mathematical finance. His previous academic positions include ones at the Universities of Leuven, Limburg and London (Imperial College), and he has held visiting appointments at various other universities. He is an elected Fellow of the Institute of Mathematical Statistics, an Honorary Fellow of the Institute of Actuaries, a Corresponding Member of the Italian Institute of Actuaries, Editor of the ASTIN Bulletin, on the Advisory Board of Finance and Stochastics and Associate Editor of numerous scientific journals. He is a member of the Board of the Swiss Association of Actuaries and belongs to various national and international research and academic advisory committees. His areas of specialisation include insurance risk theory, integrated risk management, the interplay between insurance and finance and the modelling of rare events.

Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 12 , Issue 1 , 01 March 2006 , pp. 1 - 4
Copyright
Copyright © Institute and Faculty of Actuaries 2006

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Asmussen, S. (2000). Ruin Probabilities. World Scientific.Google Scholar
Basel Committee on Banking Supervision (2003). The new Basel capital accord. BIS Basel, Switzerland. www.bis.org/bcbsGoogle Scholar
Bucklew, J.W. (2004). Introduction to rare event simulation. Springer.Google Scholar
Chavez-Demoulin, V. & Embrechts, P. (2004). Smooth extremal models in finance and insurance. The Journal of Risk and Insurance, 71(2), 183–199.Google Scholar
Chavez-Demoulin, V., Embrechts, P. & Neslehova, J. (2006). Quantitative models for operational risk: extremes, dependence and aggregation. Journal of Banking and Finance, 30(10), 2635–2658.Google Scholar
Cruz, M.G. (2002). Modeling, measuring and hedging operational risk; a quantitative approach. Wiley, New York.Google Scholar
Embrechts, P., Furrer, H.J. & Kaufmann, R. (2003). Quantifying regulatory capital for operational risk. Derivatives Use, Trading and Regulation, 9(3), 217–233.Google Scholar
Embrechts, P., Kaufmann, R. & Samorodnitsky, G. (2004). Ruin theory revisited: stochastic models for operational risk. Risk Management for Central Bank Foreign Reserves, 243–261.Google Scholar
Embrechts, P., Kluppelberg, C. & Mikosch, T. (1997). Modelling extremal events for insurance and finance. Springer.Google Scholar
Embrechts, P., McNeil, A. & Straumann, D. (2002). Correlation and dependence in risk management: properties and pitfalls. In Dempster, M.A.H. (ed.) Risk management: value at risk and beyond, 176-223. Cambridge University Press, Cambridge.Google Scholar
Embrechts, P. & Samorodnitsky, G. (2003). Ruin problem and how fast stochastic processes mix. Annals of Applied Probability, 13, 1–36.Google Scholar
McNeil, A.J., Frey, R. & Embrechts, P. (2005). Quantitative risk management: concepts, techniques and tools. Princeton University Press.Google Scholar
McNeil, A.J. & Saladin, T. (1997). The peaks over thresholds method for estimating high quantiles of loss distributions. Proceedings of XXVIIth International ASTIN Colloquium, Cairns, Australia, 23–43.Google Scholar
The Economist (2003). Blockage in Basel. Vol. 369, No. 8344, October 2003.Google Scholar