NUS Quantitative Finance Joint Seminar Series (Webinar)
NUS Quantitative Finance Joint Seminar Series (Webinar)
This webinar is jointly organised by Risk Management Institute and Centre for Quantitative Finance
Programme
Title: From If to What If — EVT revisited as a QRM tool
Prof. Paul Embrechts (ETH Zurich)
Abstract: Extreme Value Theory (EVT) has been recognized as an important tool for the analysis of financial data. In particular within Quantitative Risk Management, EVT allows for a model view beyond the Gaussian paradigm. In this talk I will recall some of the main results from EVT and highlight several applications. From a QRM point of view, an If-world is mainly frequency oriented (think e.g. of Value-at-Risk), on the other hand, a What If view is more concerned with severity (e.g. Expected Shortfall). In a forthcoming book with Marius Hofert and Valerie Chavez, with as title Risk, Told: Cautionary Tales, Understanding and Communication, we highlight this distinction in several ways.
About the Speaker
From 1989 till 2018, Paul Embrechts was Professor of (Insurance) Mathematics at the ETH Zurich. He became emeritus professor in 2018 and currently is associated with ETH's RiskLab and Risk Center. Besides numerous academic distinctions, he holds an Honorary Doctorate from the Universities of Waterloo, Heriot-Watt, Louvain, and City, the University of London. Previous academic positions were KU Leuven, the University of Limburg, Imperial College London and the London School of Economics. Dr Embrechts served as an independent director on the boards of companies in banking and insurance and co-authored the influential books Modelling Extremal Events for Insurance and Finance, Springer, 1997, and Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press, 2005/2015. His extensive research of over 200 scientific papers has been published in leading international scientific journals.
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