Stats Soc NSW Monthly Talk: Embrechts -- Extreme-Quantile Tracking for Financial Time Series

This month’s Stats Society talk has a decidedly financial flavour! Many members of the
School may be interested in it.  Also, the speaker really is a world leader in his
field.  Details appear below.  

Michael 

The June meeting of the New South Wales Branch will be held on Wednesday, 20 June 2012
6pm for refreshments & 6.30pm for talk at 60 Martin Place, Westpac Bank 

This meeting is jointly organized with CSIRO and Sydney Financial Mathematics Workshop
with support from the Discipline of Business Analytics of the University of Sydney
Business School and UTS Quantitative Finance Research Centre.This event is sponsored by
Westpac who provides the venue and refreshments.  

Prof.  Paul Embrechts 

Department of Mathematics, ETH, Zurich, Switzerland 

Extreme-Quantile Tracking for Financial Time Series 

Time series of financial asset values exhibit well known statistical features such as
heavy tails and volatility clustering.  We propose a non-parametric extension of the
classical Peaks-Over-Threshold method from Extreme Value Theory to fit the time varying
volatility in situations where the stationarity assumption may be violated by erratic
changes of regime, say.  As a result, we provide a method for estimating conditional
risk measures applicable to both stationary and non-stationary series.  A backtesting
study for the UBS share price over the subprime crisis exemplifies our approach.  

Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing in actuarial
mathematics and quantitative risk management.  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
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, Tools",
Princeton UP, 2005.  He holds an Honorary Doctorate from the Universities of Waterloo,
Heriot-Watt and Louvain.  

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.