83 citations · 127 across the 25 of their papers we have counts for
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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…
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…
Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall
Marie Kratz, Yen H. Lok, Alexander J McNeil
Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sens…
The impact of systemic risk on the diversification benefits of a risk portfolio
Marc Busse, Michel Dacorogna, Marie Kratz
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affec…
What is the best risk measure in practice? A comparison of standard measures
Susanne Emmer, Marie Kratz, Dirk Tasche
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issue…
Alarm System for Insurance Companies: A Strategy for Capital Allocation
Shubhabrata Das, Marie Kratz
One possible way of risk management for an insurance company is to develop an early and appropriate alarm system before the possible ruin. The ruin is defined through the status of…