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 the University of Strasbourg, ESSEC Paris, the Scuola Normale in Pisa (Cattedra Galileiana), the London School of Economics (Centennial Professor of Finance), the University of Vienna, Paris 1 (Panthéon-Sorbonne), the National University of Singapore and has an Honorary Doctorate from the University of Waterloo. He is an Elected Fellow of the Institute of Mathematical Statistics, Actuary-SAA, Honorary Fellow of the Institute and the Faculty of Actuaries, Corresponding Member of the Italian Institute of Actuaries, Member Honoris Causa of the Belgian Institute of Actuaries and is on the editorial board of numerous scientific journals. 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 UP, 2005. Dr. Embrechts consults on issues in quantitative risk management for financial institutions, insurance companies and international regulatory authorities. For full details of his CV, see ◦Paul Embrechts
The current financial crisis, also referred to as the subprime or credit crisis, is without doubt the most serious banking crisis for 80 years.
How could it come so far? Catchwords one reads about in the press are: greed, leverage, regulatory arbitrage, opaqueness, securitisation,
complexity, rating agencies, LCFI (Large Complex Financial Institutions), CDSs (Credit Default Swaps), CDOs (Collateralized Debt Obligations), political shortsightedness, regulatory arbitrage, human factor, complex networks, accounting defficiencies, ..., indeed a labyrinth of products and institutions.
In this talk I will try to explain where some of the main issues lie and what measures are to be taken to make the world financial system more robust. One fact we definitely have to accept is that it always has given economic crises or bubbles, and indeed such crises will reoccur. We can only hope that the future impact will be less harmful.
This talk is partly based on the article: "The devil is in the tails: actuarial mathematics and the subprime mortgage crisis. ASTIN Bulletin, 2010, to appear." See also www.math.ethz.ch/~embrechts/
for more background reading.
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