Dr. Roger Kaufmann

PhD Thesis

• 2004. Kaufmann R.: Long-Term Risk Management. [pdf]

Publications

• 2009. Embrechts P., Furrer H. and Kaufmann R.: Different Kinds of Risk. Handbook of Financial Time Series, Eds. Andersen, Davis, Kreiss and Mikosch. [pdf]
• 2007. Brummelhuis R. and Kaufmann R.: Time Scaling of Value-at-Risk in GARCH(1,1) and AR(1)-GARCH(1,1) Processes. The Journal of Risk 9(4), Summer 2007, 39-94.
• 2005. Embrechts P., Kaufmann R. and Patie P.: Strategic Long-Term Financial Risks: Single Risk Factors. Computational Optimization and Applications 32(1-2), October 2005, 61-90, Springer. [pdf]
• 2005. Kaufmann R. and Wyler A.: Summary on the Swiss Solvency Test. De Actuaris, Bulletin van het Actuarieel Genootschap 12(4), 43-45. [pdf]
• 2004. Embrechts P., Kaufmann R. and Samorodnitsky G.: Ruin theory revisited: stochastic models for operational risk. Risk Management for Central Bank Foreign Reserves, 243-261. [pdf] [complete book in pdf format]
• 2003. Embrechts P., Furrer H. and Kaufmann R.: Quantifying regulatory capital for operational risk. Derivatives Use, Trading and Regulation 9(3), 217-233. [pdf]
• 2001. Kaufmann R., Gadmer A. and Klett R.: Introduction to Dynamic Financial Analysis. ASTIN Bulletin 31(1), 213-249. [pdf]

RiskLab Report

• 2003. Kaufmann R. and Patie P.: Strategic Long-Term Financial Risks: The One-Dimensional Case. [pdf]

Master Thesis

• 1999. Kaufmann R.: DFA: Stochastische Simulation zur Beurteilung von Unternehmensstrategien bei Nichtleben-Versicherungen. [pdf]

Selected Talks (incomplete list)

• September 9, 2005. Kaufmann R.: Long-Term Risk Management (15th International AFIR Colloquium; ETH Zürich).
• September 16, 2004. Kaufmann R.: Modelling of Long-Term Risk (Quantitative Risk Management: Concepts, Techniques and Tools; Collegium Budapest).  Download slides: pdf (194 kb).
• February 19, 2004. Kaufmann R.: Modelling of Long-Term Risk (Seminar on Advanced Risk Management Practices in the Insurance Industry; Financial Stability Institute; Lucerne).
• September 19, 2002. Kaufmann R.: Modelling Extremes in Insurance and Finance (Séminaire "Risque et valeurs extrêmes en climatologie, finance et assurance"; EDF - Electricité de France; Clamart/Paris).
• June 3-7, 2002. Embrechts P. and Kaufmann R.: Modeling Extreme Events and Dependence in Finance: Risk Management Beyond Value-at-Risk (Geneva 2002 Executive Courses in Finance; International Center for Financial Asset Management and Engineering (FAME); one-week course).
• June 18-22, 2001. Embrechts P. and Kaufmann R.: Modeling Extremes and Dependence in Finance and Insurance (Geneva 2001 ICMB/FAME Executive Courses in Finance; International Center for Monetary and Banking studies; one-week course).
• June 7, 2001. Kaufmann R.: Long-Term Financial Risks: the One-Dimensional Case (RiskLab Workshop on Risk Management, ETH Zürich).
• April 10, 2001. Kaufmann R.: Copulas as an Integrated Risk Management Tool (Risk 2001 Europe, Paris).
• October 2-6, 2000. Embrechts P. and Kaufmann R.: Extreme Value Theory and Risk Management (Geneva 2000 ICMB/FAME Executive Courses in Finance; International Center for Monetary and Banking studies; one-week course).
• August 21-25, 2000. Embrechts P., McNeil A.J. and Kaufmann R.: Modelling Extremal Events for Insurance and Finance (The Georgia State University Actuarial Summer School, Atlanta; one-week course).
• October 22, 1999. Kaufmann R.: Dynamic Financial Analysis (ETH Risk Day, Zürich).
• August 9-13, 1999. Embrechts P., McNeil A.J., Straumann D. and Kaufmann R.: Modelling Extremal Events for Insurance and Finance (SAV Summer School, Université de Lausanne; one-week course).

Link

• Jobs for Mathematicians: math-jobs.com

Mathematics and Sports (in German)

• [html] Laufzeit Berechnung: Tool zum Berechnen der möglichen Marathonzeit.


• [html] Dynamische Sport-Analyse: Berechnung von Fussball- und anderen Sportresultaten.


• [ppt] Wer gewinnt die Euro 08? Präsentation zu den Fussball Europameisterschaften.


• [pdf] Euromillions vs. Euro 08: Wahrscheinlichkeiten im Alltag.


• [pdf] Interview/Portrait im Tages Anzeiger: «Mir macht das alles einfach Spass».

My Hobby

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My Marathon:

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