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q-fin.RM2020★ 1 cited
The Impact of the Choice of Risk and Dispersion Measure on Procyclicality
Marcel Bräutigam, Marie Kratz
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future…
q-fin.RM2019
Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source
Marcel Bräutigam, Michel Dacorogna, Marie Kratz
Since the introduction of risk-based solvency regulation, pro-cyclicality has been a subject of concerns from all market participants. Here, we lay down a methodology to evaluate t…