「THE FINANCIAL CRISIS: AN ACTUARIAL PERSPECTIVE」
The current financial crisis clearly shows that risk management structures, as well as risk management methodology within banks and the insurance industry have not functioned as was hoped for in a period of extreme stress. Also the regulatory framework put into place over the last 20 years was not able to prevent a considerable systemic risk. Not only were insurance companies (like AIG) deeply involved in the credit crisis, but also insurance models (like the Gaussian Copula model for CDO pricing) got a lot of blame. In this talk, I will review some of these aspects from a personal, academic-actuarial point of view and try to offer light on the questions "Who is to blame?" and "How to go forward?".
- 2009年10月22日（木） 14:30 - 16:30
- ベルサール西新宿 ROOM 6
Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing 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 (Panth?on-Sorbonne), 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 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 "Modeling of External 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 http://www.math.ethz.ch/~embrechts/CV-PE.html