Paper of the Year: Embrechts, Mizgier and Chen

Embrechts, Mizgier and Chen expand operational risk modelling across industries

Paul Embrechts
Paul Embrechts: “EVT gives you a way of thinking about non-normal data and that’s why it is important”

It was once feared that the end of the Advanced Measurement Approach for operational risk capital would mean the decline of op risk modelling – without the regulatory incentive to construct and maintain models, investment and interest would dwindle away. Instead, the reverse has been true, and the OpRisk Paper of the Year was a narrow first in a very crowded and competitive field.

At ETH Zurich, Paul Embrechts, Kamil Mizgier (now at BNY Mellon) and Xian Chen (now at the University of Oregon)

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