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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

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 - 2017 - This version: October 24, 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/10011874813

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

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

Quantitative models for operational risk : extremes, dependence and aggregation

Chavez-Demoulin, V.; Embrechts, Paul; Nešlehová, Johanna - In: Journal of banking & finance 30 (2006) 10, pp. 2635-2658

Persistent link: https://www.econbiz.de/10003376395

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