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Paul Embrechts
SFI Senior Chair
Professor of Mathematics
Paul Embrechts is 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 featured in international media. He is a regular speaker at leading international conferences in risk management aimed at both academics and industry professionals. He also serves on the editorial boards of several international journals and is a member of numerous international advisory panels.
Research Interests:
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 concentrate on the modelling of extremal events in insurance and finance, and on statistical methods for QRM.
Recent Research:
In a recent paper, Professor Embrechts and his coauthor analyze risk sharing among economic agents – such as firms, investors, or insurers – with Range-Value-at-Risk (RVaR) preferences. The RVaR, a two-parameter family of risk measure, includes the well-known Value-at-Risk (VaR) and Expected Shortfall (ES) risk metric measures, which are both one-parameter families of risk measures. The researchers provide guidelines, in the context of the calculation of regulatory capital, on how a regulatory measure can lead to certain desirable, or undesirable, properties of risk sharing among firms. In terms of risk management and policy decision-making, several novel advantages of ES over VaR are also revealed.