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.