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Domains : qfin
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The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio

Marc Busse , Michel Dacorogna , Marie Kratz
2013
Preprints, Working Papers, ... hal-00914844v1
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Risk neutral versus real-world distribution on puclicly listed bank corporations

Michel Dacorogna , Juan-José Francisco Miguelez , Marie Kratz
2016
Preprints, Working Papers, ... hal-01373071v1
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On the Capacity Functional of Excursion Sets of Gaussian Random Fields on R²

Marie Kratz , Werner Nagel
2014
Preprints, Working Papers, ... hal-01085072v1

Effectiveness of renewable energy policy in Latin America: an econometric approach

Jonathan El Methni , German Bersalli , Philippe Menanteau
41th conference of the International Association for Energy Economics: Transforming Energy Markets, Jun 2018, Groningen, Netherlands
Conference papers hal-03950047v1
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An Extension of the Class of Regularly Varying Functions

Meitner Cadena , Marie Kratz
2014
Preprints, Working Papers, ... hal-01097780v1
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Modelling macroeconomic effects and expert judgements in operational risk : a Bayesian approach

Holger Capa Santos , Marie Kratz , Franklin Mosquera Munoz
2012
Preprints, Working Papers, ... hal-00690448v1
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Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model

Anurag Narayan Banerjee , Guillaume Chevillon , Marie Kratz
2013
Preprints, Working Papers, ... hal-00870795v1
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What Is the Best Risk Measure in Practice? A Comparison of Standard Measures

Suzanne Emmer , Marie Kratz , Dirk Tasche
2013
Preprints, Working Papers, ... hal-00921283v1
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There is a VaR Beyond Usual Approximations

Marie Kratz
2013
Preprints, Working Papers, ... hal-00880258v1
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CLT for Lipschitz-Killing curvatures of excursion sets of Gaussian random fields

Marie Kratz , Sreekar Vadlamani
2016
Preprints, Working Papers, ... hal-01373091v1
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Multinomial var backtests: A simple implicit approach to backtesting expected shortfall

Marie Kratz , Yen H Lok , Alexander J Mcneil
2016
Preprints, Working Papers, ... hal-01424279v1
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Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study

Rosnan Chotard , Michel Dacorogna , Marie Kratz
2016
Preprints, Working Papers, ... hal-01424285v1