Credit Risk Evaluation Designed for Institutional Targeting in finance

Dependence Modelling for Credit Portfolios

Paul Embrechts is Professor of Mathematics at the ETHZ (Swiss Federal Institute of Technology, Zurich) specialising in actuarial mathematics and mathematical finance. Previous academic positions include the Universities of Leuven, Limburg and London (Imperial College). Dr Embrechts has held visiting appointments at the University of Strasbourg, ESSEC Paris, the Scuola Normale in Pisa and the London School of Economics (Centennial Professor). He is a Fellow of the IMS, Honorary Fellow of the Institute of Actuaries, Editor of the ASTIN Bulletin, on the Advisory Board of Finance and Stochastics and Associate Editor of numerous scientific journals, including the Applied Probability Journals and Insurance: Mathematics and Economics. He is a member of the Board of the Swiss Association of Actuaries and belongs to various national and international research and academic advisory committees. His areas of specialization include insurance risk theory, integrated risk management, the interplay between insurance and finance, and the modeling of rare events. Together with C. Klueppelberg and T. Mikosch he is a co-author of the influential book "Modelling of Extremal Events for Insurance and Finance", Springer, 1997. Dr Embrechts consults for a number of leading financial institutions and insurance companies, and is a member of the Board of Directors of Bank Julius Baer and Mathematical Revisor for Swiss Re.