Paul Embrechts

Prof. Paul Embrechts is visiting HKU as a Hung Hing Ying Distinguished Visiting Professor in Science and Technology. He will give a public lecture next next Thursday. He is a co-author of the celebrated QRM book Quantitative Risk Management: Concepts, Techniques and Tools. For this book (now 2nd edition, published 2015), there is an excellent website called QRM Tutorial (and its GitHub repository), with slides and R codes available.

Today I happened to attend the biweekly time series seminars organized within the department, and for the first time seriously listened about GARCH model (cf. Francq and Zakoïan (2010)), Stationarity, Portmanteau test, etc. There is a great introduction to these concepts by the QRM book (Chapter 4: Financial time series; PDF slides).

PS: Prof. Paul Embrechts has authored another well-known/influential book in 1997, titled “Modelling Extremal Events for Insurance and Finance”, which I have not ever read yet.

Leave a Reply

Your email address will not be published. Required fields are marked *