4 citations · 6 across the 5 of their papers we have counts for
5 papers
Managing Cyber Risk, a Science in the Making
Michel Dacorogna, Marie Kratz
Not a day goes by without news about a cyber attack. Fear spreads out and lots of wrong ideas circulate. This survey aims at showing how all these uncertainties about cyber can be…
Building up Cyber Resilience by Better Grasping Cyber Risk Via a New Algorithm for Modelling Heavy-Tailed Data
Michel Dacorogna, Nehla Debbabi, Marie Kratz
Cyber security and resilience are major challenges in our modern economies; this is why they are top priorities on the agenda of governments, security and defense forces, managemen…
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…
Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development
T. Di Matteo, T. Aste, M. M. Dacorogna
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets…
Using the Scaling Analysis to Characterize Financial Markets
T. Di Matteo, T. Aste, M. M. Dacorogna
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behavi…