Professor of Mathematics
Paul Embrechts is Full Professor of Mathematics at ETH Zurich. He joined SFI in 2007 and has held an SFI Senior Chair since 2009. Prof. Embrechts’ research has been published in top academic journals worldwide and enjoyed international media coverage. He is a regular speaker at leading international conferences on risk management, aimed at both academics and industry professionals. He also serves on the editorial board of several international journals and is a member of numerous international advisory panels.
Prof. Embrechts is the director of RiskLab. Founded in 1994, RiskLab is a center for studies in the areas of insurance mathematics and quantitative risk management (QRM). His main areas of research are the modelling of extremal events in insurance and finance, and statistical methods for QRM.
In a recent paper, Prof. Embrechts and his co-authors address the problem of risk sharing among agents, using a two-parameter class of quantile-based risk measures as their preferences. This family includes the Value at Risk (VaR) and the Expected Shortfall (ES), the two popular and competing regulatory risk measures, as special cases. The researchers show that, in general, a robust optimal allocation exists if and only if none of the underlying risk measures is a VaR. In terms of implications for risk management and policy makers, they show how the use of a regulatory risk measure can lead to certain desirable or undesirable properties of risk sharing among firms. Several novel advantages of ES over VaR from the perspective of a regulator are thereby revealed.