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English Yes Yes Yes Yes Yes
French Yes Yes No Yes No
German Yes Yes Yes Yes Yes
Degrees
- 2010/2 Doctorate, Mathematics, University of Ulm
- 2006/4 Diploma, Mathematics and Management, University of Ulm - 2005/5 Master's Thesis, Mathematics, Syracuse University
- 2003/3 Bachelor's Equivalent, Mathematics and Management, Ulm University
Recognitions
2015/5 - 2015/5 Best paper award R/Finance 2015 R/Finance
Prize / Award Best paper award 2014/3 - 2014/3 Gabriel Doyon
ETH Zurich Prize / Award
Gabriel Doyon (who wrote his thesis under my supervision) was awarded with the Walter Saxer Versicherungs-Hochschulpreis 2013 honoring excellent scientific work in insurance mathematics and related fields.
User Profile
Research Specialization Keywords: High-dimensional copulas, Hierarchical copulas, Random numbers, estimation, goodness-of-fit, Computational challenges in dependence modeling, Extreme value copulas,
Dependence modeling in time, Dependence modeling including covariates, Development of R packages, Parallel computing in R, Graphical tools in statistics, Quantitative risk management, Finance
Employment
2014/7 Assistant Professor
Statistics and Actuarial Science, University of Waterloo Full-time, Assistant Professor
Dr. Jan Hofert
100 2014/3 - 2014/6 Visiting Professor
Applied Mathematics, University of Washington Full-time, Visiting Professorship, Assistant Professor Tenure Status: Non Tenure Track
2013/10 - 2014/3 Guest Professorship W2 (TUM Agenda Lehre Program) Mathematics, Technische Universitaet Muenchen Full-time, Term, Associate Professor
Tenure Status: Non Tenure Track 2009/10 - 2013/9 Postdoctoral Research Fellowship
Mathematics, ETH Zurich Full-time
Tenure Status: Non Tenure Track Willis Research Fellow
Research Funding History
Awarded [n=1] 2015/4 - 2020/3 Principal Applicant
Completed [n=1]
Discovery Grant, Grant Funding Sources:
Natural Sciences and Engineering Research Council of Canada (NSERC) Discovery Grant
Total Funding - 95,000
Portion of Funding Received - 19,000 Funding Competitive?: Yes
2009/10 - 2013/9 Principal Applicant
Willis Research Fellowship, Fellowship Funding Sources:
Willis Re
Willis Research Fellowship Total Funding - 512,000
Portion of Funding Received - 400,000 Funding Competitive?: Yes
Student/Postdoctoral Supervision
Bachelor’s [n=2]
2013/12 - 2014/4 Jovana Mitrovic (Completed), University of Cambridge
Principal Supervisor Thesis/Project Title: A Survey of Copulas in Machine Learning Present Position: PhD student, University of Cambridge 2012/7 - 2012/11 Claude Renault (Completed), ETH Zurich
Principal Supervisor Thesis/Project Title: Bayesian Estimation of selected Copula Models Present Position: PhD Student
Bachelor’s Equivalent [n=1]
2011/9 - 2012/1 Flavio Wicki (Completed) , ETH Zurich
Dr. Jan Hofert
101 Present Position: Unknown Master’s Thesis [n=3]
2012/10 - 2013/4 Principal Supervisor
Gabriel Doyon (Completed) , ETH Zurich
Thesis/Project Title: On Densities of Extreme Value Copulas (awarded with the Walter Saxer Versicherungs-Hochschulpreis 2013; joint publication in progress)
Present Position: KPMG 2012/8 - 2013/2
Principal Supervisor
Evgeny Vakhrushev (Completed) , ETH Zurich
Thesis/Project Title: On the Theory of Semiparametric Estimators in Copula Models Present Position: Unknown
2011/10 - 2012/4 Principal Supervisor
Doctorate [n=3]
David Pham (Completed) , ETH Zurich
Thesis/Project Title: Densities of nested Archimedean copulas (joint publication) Present Position: Swiss National Bank
2017/9 - 2023/5 Principal Supervisor
Takaaki Koike (In Progress) , University of Waterloo
Thesis/Project Title: On Computational Risk Management in Finance and Insurance Present Position: Student
2017/9 - 2023/5 Co-Supervisor
Erik Hintz (In Progress) , University of Waterloo Thesis/Project Title: On Quasi-Monte Carlo Methods Present Position: Student
2016/5 - 2022/1 Co-Supervisor
Avinash Prasad (In Progress) , University of Waterloo Thesis/Project Title: On Machine Learning and Copulas Present Position: Student
Editorial Activities
2017/9 - 2027/1 Associate Editor, Journal of Multivariate Analysis, Journal
2017/1 - 2027/1 Associate Editor, Journal of Computational and Graphical Statistics, Journal
2010/5 - 2015/7 Reviewer, Biometrika, Annals of Applied Statistics, Journal of Banking and Finance, Journal of Multivariate Analysis, Statistics and Computing, Computational Statistics & Data Analysis, Quantitative Finance etc, Journal
Other Memberships
2014/10 - 2015/10 Member, Waterloo Research Institute in Insurance, Securities and Quantitative Finance
Presentations
1. (2018). Zigzag Expanded Navigation Plots in R: The R Package Zenplots. HEC Lausanne, University of Lausanne, Lausanne, Switzerland
Invited?: Yes, Keynote?: No
2. (2017). Visualizing High-Dimensional Data: Zenplots and Zenpaths. Talks in Financial and Insurance Mathematics ETH Zurich, Zurich, Switzerland
Invited?: Yes, Keynote?: No
3. (2017). Zigzag Expanded Navigation Plots in R: The R Package Zenplots;. CREAR Working Group on Risk; ESSEC Business School, Clergy-Pontoise, France Invited?: Yes, Keynote?: No
Dr. Jan Hofert
102
4. (2017). Computational Challenges in Risk Aggregation. Research School of Finance, Actuarial Studies & Statistics, Australian National University, Canberra, Australia Invited?: Yes, Keynote?: No
5. (2017). Visualizing High-Dimensional Data: Zenplots and Zenpaths. Risk Measurement and Regulatory Issues in Business; Centre de Recherches Mathématiques, Montreal, Canada Invited?: Yes, Keynote?: No 6. (2017). Visualizing High-Dimensional Data: Zenplots and Zenpaths. Institute of Mathematical Statistics and
Actuarial Science, University of Bern, Bern, Switzerland Invited?: Yes, Keynote?: No
7. (2017). Aspects of Copula Modeling in R: Selected examples from computational Risk Management; Dependence Modeling Tools for Risk Management. Centre de Recherches Mathématiques, Montreal, Canada
Invited?: Yes, Keynote?: No
8. (2016). Improved Algorithms for Computing Worst VaR: Numerical Challenges and the ARA. Risk Management Institute, National University of Singapore, Singapore Invited?: Yes, Keynote?: No
9. (2016). Improved Algorithms for Computing Worst VaR: Numerical Challenges and the ARA. Quantock Lab, University Laval, Laval, Canada
Invited?: Yes, Keynote?: No
10. (2015). Parallel and other simulations in R made easy: An end-to-end study.Research Seminar. R/Finance 2015, University of Illinois, Illinois, United States
Main Audience: Researcher Invited?: Yes, Keynote?: No
11. (2015). Construction and sampling of Archimedean and nested Archimedean Levy copulas; Copulae: On the Crossroads of Mathematics, Economics and Computer Science.Research Seminar. Mathematisches Forschungsinstitut Oberwolfach, Oberwolfach, Germany
Main Audience: Researcher Invited?: Yes, Keynote?: No
12. (2015). Parallel and other simulations in R made easy: An end-to-end study.Computational Mathematics Colloquium, University of Waterloo, Waterloo, Canada
Main Audience: Researcher Invited?: Yes, Keynote?: No
13. (2015). An extreme value approach for modeling Operational Risk losses depending on covariate.Research Seminar. Extreme Value Analysis, Michigan, United States
Main Audience: Researcher Invited?: Yes, Keynote?: No
14. (2015). Parallel and other simulations in R made easy: An end-to-end study.6th International Conference of the ERCIM Working Group on Computing and Statistics, University of London, London, United Kingdom Main Audience: Researcher
Invited?: Yes, Keynote?: No
15. (2015). Improved algorithms for computing worst VaR: numerical challenges and the ARA.Research Seminar. Institute for Statistics and Mathematics, Vienna University of Economics and Business., Vienna, Austria
Main Audience: Researcher Invited?: Yes, Keynote?: No
16. (2015). Improved algorithms for computing worst VaR: Numerical challenges and the ARA. The Mathematics and Statistics of Quantitative Risk Management.Research Seminar. Mathematisches Forschungsinstitut Oberwolfach, Oberwolfach, Germany
Dr. Jan Hofert
103 Main Audience: Researcher
Invited?: Yes, Keynote?: No
17. (2015). Parallel and other simulations in R made easy: An end-to-end study.Computational Mathematics Colloquium, University of Waterloo, Waterloo, Canada
Main Audience: Researcher Invited?: Yes, Keynote?: No
18. (2014). Nested Archimedean copulas: computational challenges in finance and statistics. Research seminar; Department of Mathematics, National University of Singapore, Singapore, Singapore Main Audience: Researcher
Invited?: Yes, Keynote?: No
19. (2014). The Art of Copula Modeling. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada
Main Audience: Researcher Invited?: Yes, Keynote?: No
20. (2014). An extreme value approach for modeling operational risk losses depending on
covariates.Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada Main Audience: Researcher
Invited?: Yes, Keynote?: No
21. (2014). An extreme value approach for modeling operational risk losses depending on covariates.
Research seminar; Institute for Statistics and Mathematics, Vienna University of Economics and Business, Vienna, Austria
Main Audience: Researcher Invited?: Yes, Keynote?: No
22. (2014). Sibuya copulas; high-dimensional copulas: theory, modeling, and applications. Research Seminar; Central University of Finance and Economics, Beijing, China
Main Audience: Researcher Invited?: Yes, Keynote?: No
23. (2013). Nested Archimedean copulas: statistical and computational challenges. Research Seminar; Institute of Mathematics, University of Zurich, Zurich, Switzerland
Main Audience: Researcher Invited?: Yes, Keynote?: No
24. (2013). Dependence models in high dimensions: Statistical and computational challenges. Conference on Copulas and Dependence: Theory and Applications; Statistics Department, Columbia University, New York City, United States
Main Audience: Researcher Invited?: Yes, Keynote?: No
25. (2013). Laudatio in honor of Gabriel Doyon. Research Seminar; Department of Mathematics, Eidgenossische Technische Hochschule, Zurich, Switzerland
Main Audience: Researcher Invited?: Yes, Keynote?: No
26. (2013). Modeling dependence in high dimensions: Statistical and computational challenges. Institut de Mathématiques d'Analyse et Applications; Ecole Polytechnique Federale de Lausanne, Lausanne, Switzerland
Main Audience: Researcher Invited?: Yes, Keynote?: No
Dr. Jan Hofert
104
27. (2013). Computational challenges in copula modeling. Workshop Copula modeling: New challenges and techniques, Technische Universitaet Muenchen, Munich, Germany
Main Audience: Researcher Invited?: Yes, Keynote?: No
28. (2013). Statistical and computational aspects of nested Archimedean copulas and beyond. Research seminar; Institute for Statistics and Mathematics, Vienna University of Economics and Business, Vienna, Austria
Main Audience: Researcher Invited?: Yes, Keynote?: No
29. (2013). Computational statistics in copula modeling: why and how. 6th International Conference of the ERCIM Working Group on Computing and Statistics, University of London, London, United Kingdom Main Audience: Researcher
Invited?: Yes, Keynote?: No
30. (2013). Statistical methods and tools for QRM: My past, present and future. Department of Statistical Science, University College London, London, United Kingdom
Main Audience: Researcher Invited?: Yes, Keynote?: No
31. (2013). Computational challenges in high-dimensional dependence models. Research Seminar;
Laboratoire de Mathématiques et de leurs Applications, Universite de Pau et des Pays de l'Adour, Pau, France Main Audience: Researcher
Invited?: Yes, Keynote?: No
32. (2013). Nested Archimedean copulas: Statistical and computational challenges. Research Seminar; Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada
Main Audience: Researcher Invited?: Yes, Keynote?: No
33. (2013). Computational aspects of quantitative risk management. Risk Day; ETH Zurich, Zurich, Switzerland Main Audience: Researcher
Invited?: Yes, Keynote?: No
34. (2013). An extreme value approach for modeling operational risk losses depending on covariates. Risk Management Reloaded, Technische Universitaet Muenchen, Munich, Germany
Main Audience: Researcher Invited?: Yes, Keynote?: No
35. (2012). From start to finish: Maximum likelihood for Gumbel copulas. Electrical Engineering, Mathematics and Computer Science, Delft University of Technology, Delft, Netherlands
Main Audience: Researcher Invited?: Yes, Keynote?: No
36. (2012). From start to finish: Maximum likelihood for Gumbel copulas. Department of Statistical Science, University College London, London, United Kingdom
Main Audience: Researcher Invited?: Yes, Keynote?: No
37. (2012). Modeling high-dimensional dependencies: Computational challenges in finance and statistics. Department of Computer Science, University College London, London, United Kingdom
Main Audience: Researcher Invited?: Yes, Keynote?: No
Dr. Jan Hofert
105
38. (2012). A first lecture on copulas. ISAM-Top Math Summer School on "Dependence Modeling", Technische Universitaet Muenchen, Munich, Germany
Main Audience: Researcher Invited?: Yes, Keynote?: Yes
39. (2012). On hierarchical copula models in high dimensions. Institute for Applied Mathematics, Heidelberg University, Heidelberg, Germany
Main Audience: Researcher Invited?: Yes, Keynote?: No
40. (2012). An extreme value approach for modeling operational risk losses depending on covariates. Maxwell Institute for Mathematical Sciences, Heriot-Watt University, Edinburgh, United Kingdom
Main Audience: Researcher Invited?: Yes, Keynote?: No
41. (2012). On densities of Archimedean and nested Archimedean copulas. Interuniversity Institute for Biostatistics and Statistical Bioinformatics, Universiteit Hasselt, Hasselt, Belgium
Main Audience: Researcher Invited?: Yes, Keynote?: No
42. (2012). On nested Archimedean copulas: Construction, sampling and densities. Research Seminar; Departement de Sciences de la Decision: HEC Montreal, Montreal, Canada
Main Audience: Researcher Invited?: Yes, Keynote?: No
Publications
Journal Articles
1. Hermann K Hofert M Maillot M. (2018). Multivariate Geometric Expectiles. Scandinavian Actuarial Journal. Accepted
Refereed?: Yes
2. Gorecki Jan Hofert M Holena Martin. (2017). On structure, family and parameter estimation of hierarchical Archimedean copulas. Journal of Statistical Computation and Simulation. 87(17): 3261-3324.
Published
Refereed?: Yes, Open Access?: Yes
3. Hofert M Memartoluie A Saunders D Wirjanto T. (2017). Improved Algorithms for Computing Worst Valueat- Risk. Statistics & Risk Modeling. 34(1-2): 13-31.
Published
Refereed?: Yes, Open Access?: Yes
4. Gorecki Jan Hofert M Holena Martin. (2017). Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Dependence Modeling. 5(1): 75-87.
Published
Refereed?: Yes, Open Access?: Yes
5. Hofert M Huser R *Prasad A. (2017). Hierarchical Archimax copulas. Journal of Multivariate Analysis. Submitted
Refereed?: Yes
6. Gorecki Jan Hofert M Helena Martin. (2017). Hierarchical Archimedean Copulas for MATLAB: The HACopula Toolbox. Journal of Statistical Software.
Dr. Jan Hofert
106 Submitted
Refereed?: Yes
7. Hobert M Schepsmeier U. (2017). Guidelines for statistical projects: Coding and Typography (Part II). International Chinese Statistical Association Bulletin. 29(1): 52-58.
Published
Refereed?: Yes, Open Access?: Yes
8. Hofert M Oldford R W. (2017). Visualizing Dependence in High-Dimensional Data: An Application to S&P 500 Constituent Data. Econometrics and Statistics.
Published
Refereed?: Yes, Open Access?: Yes
9. Hofert M Oldford R W *Prasad A Zhu M. (2017). A framework for measuring dependence between random vectors. Journal of Multivariate Analysis.
Submitted Refereed?: Yes
10. Hofert M Schepsmeier U. (2017). Guidelines for statistical projects: Coding and Typography (Part III). International Chinese Statistical Association Bulletin.
Published
Refereed?: Yes, Open Access?: Yes
11. Hofert M Maechler M. (2016). Parallel and other simulations in R made easy: An end-to-end study. Journal of Statistical Software. 69(4): 42 pages.
In Press
Refereed?: Yes
12. Embrechts P Hofert M Wang Ruodu. (2016). Bernoulli and Tail-Dependence Compatibility. The Annals of Applied Probability. 26(3): 1636-1658.
Published
Refereed?: Yes, Open Access?: Yes
13. Chavez-Demoulin V Embrechts P Hofert M. (2016). An extreme value approach for modelling operational risk losses depending on covariates. Journal of Risk and Insurance. 83(3): 735-776.
Published
Refereed?: Yes, Open Access?: Yes
14. [Copula Modeling] Gorecki J, Hofert M, Holena M. (2016). An approach to structure determination and estimation of hierarchical Archimedean copulas and its application in Bayesian classification. Journal of Intelligent Information Systems. 46(1): 21-59.
Published
Refereed?: Yes, Open Access?: Yes
15. Cambou M Hofer M Lemieux C. (2016). Quasi-random numbers for copula models. Statistics and Computing. 27(5): 1307-1329.
Published
Refereed?: Yes, Open Access?: Yes
16. Hofert M, Schepsmeier U. (2016). Guidelines for statistics projects: General Aspects. International Chinese Statistical Association Bulletin. 28(1)
Published Refereed?: Yes
Dr. Jan Hofert
107 Published
Refereed?: Yes, Open Access?: Yes
18. [Quantitative Risk Management, Computational Statistics] Chavez-Demoulin V, Embrechts P Hofert M. (2015). An extreme value approach for modeling operational risk losses depending on covariates. Journal of Risk and Insurance.
Accepted Refereed?: Yes
19. Embrechts P Hofert M Wang R. (2015). Bernoulli and tail-dependence compatibility. The Annals of Applied Probability.
Accepted Refereed?: Yes
20. Hofert M Memartoluie A Saunders D Wirjanto T. (2015). Improved algorithms for computing worst value- atrisk: Numerical challenges and the adaptive rearrangement algorithm.Statistics & Risk Modeling. Submitted
Refereed?: Yes, Open Access?: Yes
21. Grothe O Hofert M. (2015). Construction and sampling of Archimedean and nested Archimedean Levy copulas. Journal of Multivariate Analysis. 138(C): 182-198.
Published
Refereed?: Yes, Open Access?: Yes
22. Cambou M Hofert M Lemieux C. (2015). Quasi-random numbers for copula models. Statistics and Computing.
Submitted
Refereed?: Yes, Open Access?: Yes
23. Gorecki J Hofert M Holena M. (2015). On structure, family and parameter estimation of hierarchical Archimedean copulas.NA.
Submitted
Refereed?: Yes, Open Access?: Yes
24. Hofert M Hornik K. (2015). How we R on Android. The R Journal. Submitted
Refereed?: No, Open Access?: Yes
25. Hofert M McNeil A J. (2015). Subadditivity of Value-at-Risk for Bernoulli random variables. Statistics & Probability Letters. 98(C): 79-88.
Published
Refereed?: Yes, Open Access?: Yes
26. Embrechts P Hofert M. (2014). Statistics and quantitative risk management for banking and insurance. Annual Review of Statistics and Its Application. 1: 493-514.
Published
Refereed?: Yes, Open Access?: Yes
27. Hofert M Maechler M. (2014). A graphical goodness-of-fit test for dependence models in higher dimensions. Journal of Computational and Graphical Statistics. 23(3): 700-716.
Published
Refereed?: Yes, Open Access?: Yes
28. Gorecki J Hofert M Holena M. (2014). On the consistency of an estimator for hierarchical Archimedean copulas. Mathematical Methods in Economics.
Dr. Jan Hofert
108 Published
Refereed?: Yes
29. Hofert M Maechler M McNeil A. (2013). Archimedean copulas in high dimensions: Estimators and numerical challenges motivated by financial applications. Journal de la Societe Francaise de Statistique. 154(1): 25-63.
Published Refereed?: Yes
30. Hofert M. (2013). On sampling from the multivariate t distribution. The R Journal. 5(2): 129-136. Published Refereed?: Yes
31. Hofert M, Pham D*. (2013). Densities of nested Archimedean copulas. Journal of Multivariate Analysis. 118: 37-52.
Published Refereed?: Yes
32. Embrechts P Hofert M. (2013). A note on generalized inverses. Mathematical Methods of Operations Research. 77(3): 423-432.
Published
Refereed?: Yes, Open Access?: Yes
33. Embrechts P Hofert M. (2013). Statistical inference for copulas in high dimensions: A simulation study. ASTIN Bulletin. 43(2): 81-95.
Published Refereed?: Yes
34. Hofert M Wuethrich M. (2013). Statistical review of nuclear power accidents. Asia-Pacific Journal of Risk and Insurance. 7(1)
Published
Refereed?: Yes, Open Access?: No
35. Cambou M Hofert M. (2013). An importance sampling algorithm for copula models in insurance. European Actuarial Journal.
Submitted Refereed?: Yes
36. Hofert M Vrins F. (2013). Sibuya copulas. Journal of Multivariate Analysis. 114: 318-337. Published Refereed?: Yes
37. Hofert M Maechler M McNeil A. (2012). Likelihood inference for Archimedean copulas in high dimensions under known margins. Journal of Multivariate Analysis. 110: 133-150.
Published Refereed?: Yes
38. Hofert M. (2012). Sampling exponentially tilted stable distributions. ACM Transactions on Modeling and Computer Simulation. 22(1): 3.1-3.11.
Published Refereed?: Yes
39. Hofert M. (2012). A stochastic representation and sampling algorithm for nested Archimedean copulas. Journal of Statistical Computation and Simulation. 82(9): 1239-1255.
Published Refereed?: Yes
Dr. Jan Hofert
109
Book Chapters
1. Gorecki J, Hofert M, Holena M. (2014). On the consistency of an estimator for hierarchical Archimedean copulas.Talasova J, Stoklasa J, Talesek T. 32nd International Conference on Mathematical Methods in Economics. : 239-244.
Published, Univerzita Palackeho Refereed?: Yes
2. [Copula Modeling] Hering C, Hofert M. (2014). Goodness-of-fit tests for Archimedean copulas in high dimensions.Glau K, Scherer M, Zagst R. Innovations in Quantitative Risk Management. : NA. Accepted, Springer
Refereed?: Yes
3. [Quantitative Risk Management] Embrechts P, Hofert M. (2012). Risk Measures and Dependence Modeling. Dionne G. Handbook of Insurance. : 135-166.
Published, Springer-Verlag Refereed?: Yes
Manuals
1. Hofert M. (2016). crop: Graphics Cropping Tool. Published, CRAN-R
2. Hofert M Hornik K. (2016). qrmdata: Data Sets for Quantitative Risk Management Practice. Published, CRAN R
3. Hofert M Oldford R W. (2016). zenplots: Zigzag Expanded Navigation Plots. Published, CRAN-R 4. Hofert, M Lemieux C. (2015). qrng: (Randomized) Quasi-Random Number Generators.
Published, CRAN-R
5. Hofert M Hornik K. (2015). qrmtools: Tools for Quantitative Risk Management. Published, CRAN- R
6. Hofert M Kojadinovic I Maechler M Yan J. (2014). copula: Multivariate Dependence with Copulas. Published, CRAN
7. Hofert M Maechler M. (2014). simsalapar: Tools for Simulation Studies in Parallel with R. Published, CRAN
110