Model Risk, Solvency and Risk Aggregation

Prof. Dr. Paul Embrechts

ETH Zurich

About the Speaker

Paul Embrechts is Professor of Mathematics at the ETH Zurich specialising in Actuarial Mathematics and Quantitative Risk Management.

Previous academic positions include the Universities of Leuven, Limburg and London (Imperial College). Dr. Embrechts has held visiting professorships at numerous universities and has an Honorary Doctorate from the University of Waterloo, the Heriot-Watt University, Edinburgh, and the Université Catholique de Louvain. He is an Elected Fellow of the Institute of Mathematical Statistics and the American Statistical Association, Honorary Fellow of the Institute and the Faculty of Actuaries, UK, and Institut des Actuaires, France and Member Honoris Causa of the Belgian Institute of Actuaries. He belongs to various national and international research and academic advisory committees.

He co-authored the influential books "Modelling of Extremal Events for Insurance and Finance", Springer, 1997, and "Quantitative Risk Management: Concepts, Techniques and Tools", Princeton University Press, 2005 and 2015.

Dr. Embrechts consults on issues in Quantitative Risk Management for financial institutions, insurance companies and international regulatory authorities.

Abstract

Under both Basel II/III for banking as well as Solvency II for insurance, Model Risk (MR), especially for Risk Aggregation purposes, plays an important role. In this talk I will concentrate on Dependence Uncertainty and quantify MR from that point of view. Besides reviewing some of the main results obtained over the recent years, I will discuss several examples coming from the realm of Operational Risk, as well as the calculation of Economic Capital in a real banking example.

A basic reference is A.J. McNeil, R. Frey, P. Embrechts (2015) Quantitative Risk Management: Concepts, Techniques and Tools. Revised Edition, Princeton University Press.