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~person:"Kratz, Marie"
~subject:"Ausreißer"
~subject:"Credit risk"
~subject:"Measurement"
~type_genre:"Arbeitspapier"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Fallstudie"
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Arbeitspapier
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Kratz, Marie
Allen, David E.
23
Wang, Ruodu
17
Righi, Marcelo Brutti
16
Powell, Robert
13
McAleer, Michael
12
Rosazza Gianin, Emanuela
12
Herrera, Rodrigo
11
Farkas, Walter
10
Mao, Tiantian
10
Munari, Cosimo-Andrea
10
Brandtner, Mario
9
Chen Zhou
9
Fermanian, Jean-David
9
Scaillet, Olivier
9
Vries, Casper G. de
9
Cai, Jun
8
Dhaene, Jan
8
Furman, Edward
8
Koch Medina, Pablo
8
Kürsten, Wolfgang
8
Rüschendorf, Ludger
8
Singh, Abhay Kumar
8
Stupfler, Gilles
8
Yoshiba, Toshinao
8
Balbás de la Corte, Alejandro
7
Bellini, Fabio
7
Chang, Chia-Lin
7
Cheung, Ka Chun
7
Daouia, Abdelaati
7
Dowd, Kevin
7
Gouriéroux, Christian
7
Grundke, Peter
7
Kupiec, Paul H.
7
Laeven, Roger J. A.
7
Landsman, Zinoviy
7
Lucas, André
7
Müller, Fernanda Maria
7
Pichler, Alois
7
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7
Rösch, Daniel
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3
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Journal of banking & finance
1
Journal of risk
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ECONIS (ZBW)
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1
Efficient estimation in extreme value regression models of hedge fund tail risks
Hambuckers, Julien
;
Kratz, Marie
;
Usseglio-Carleve, Antoine
-
2023
Persistent link: https://www.econbiz.de/10014412457
Saved in:
2
How do empirical estimators of popular risk measures impact pro-cyclicality?
Bräutigam, Marcel
;
Kratz, Marie
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
3
,
pp. 547-579
Persistent link: https://www.econbiz.de/10014436789
Saved in:
3
Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data
Dacorogna, Michel M.
;
Debbabi, Nehla
;
Kratz, Marie
-
2022
Persistent link: https://www.econbiz.de/10013500692
Saved in:
4
Multinomial var backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen
;
McNeil, Alexander J.
-
2016
Persistent link: https://www.econbiz.de/10011892794
Saved in:
5
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
6
What is the best risk measure in practice? : a comparsion of standard measures
Emmer, Susanne
;
Kratz, Marie
;
Tasche, Dirk
- In:
Journal of risk
18
(
2015/2016
)
2
,
pp. 31-60
Persistent link: https://www.econbiz.de/10011438976
Saved in:
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