Rodrigo Herrera’s Home

Contact Information

Universidad de Talca

Facultad de Ingeniería

Departamento de Modelación y Gestión Industrial

Camino a los Niches Km. 1

Curicó, Chile


Phone: +56 75 2201784

Fax: +56  75  325958

E-mail: rodriherrera{@}utalca{.}cl


· Herrera, R. and N. González (2014).“Modeling and Forecasting of Extreme Events in Electricity Spot Markets”. International Journal of Forecasting. Accepted.

· Herrera, R. and A. Karmann (2014).“New evidence of contagion in the Asian crisis”. Review of Development Economics. Accepted.

· Herrera, R. (2013). Energy risk management through self-exciting marked point process”. Energy Economics. Vol. 38,  64–76.

· Herrera, R and  Schipp, B. (2013). Value at Risk forecasts by extreme value models in a conditional duration framework”. Journal of Empirical Finance. Vol. 23. 33–47.

· Herrera, R. and S. Eichler (2011). Extreme Dependence with Asymmetric Thresholds: Evidence for the European Monetary Union. Journal of Banking and Finance. 35, Vol. 11, 2916-2930.

·  Herrera, R., Schipp, B. (2009). Self-exciting extreme value models on stock market crashes. In: Statistical Inference, Econometric Analysis and Matrix Algebra. Physica-Verlag Heidelberg., 209 - 231.

·  Herrera, R., M. Aguirre and G. Bravo (2007). “Análisis comparativo de eficiencia técnica entre la banca chilena y alemana”. Revista de Matemática: Teoría y Aplicaciones 14(2) : 203–218. ISSN: 1409-2433.

·  Herrera, R., S. Nickel and J. Kalcsics (2007). Reliability Models for the Uncapacitated Facility Location Problem with User Preferences”. Operations Research Proceedings 2007, 135-140.

· Herrera, R., M. Aguirre and G. Bravo (2004). “Una frontera de Producción para la banca Chilena” Panorama Socioeconómico, ISSN: 0718-1566. Chile.

Short Biography

Rodrigo Herrera is an  Assistant Professor at the Universidad de Talca, Chile, specializing in quantitative methods in risk management and operation research.  He received  a and an Eng. degrees from  the same university, in 2002. Moreover, he  obtained  the doctoral degree in 2009 at  the Dresden University of Technology, Germany. 

His main research interest lies  in  extreme value theory and its  applications to financial risk management. This field of research has become a ubiquitous work for banks, companies and financial institutions, especially during the last subprime crisis. In a globalized world of complex financial instruments with the dramatic increase in available information and historical market data, it makes necessary the development of new methodologies to describe the dynamics of these instruments. Two of the most interesting fields which are emerged as reliable frameworks of new methodologies are point process theory and extreme value theory.