83 citations · 127 across the 25 of their papers we have counts for
5 papers · 1 filter
Multivariate Discrete Generalized Pareto Distributions: Theory, Simulation, and Applications to Dry spells
Samira Aka, Marie Kratz, Philippe Naveau
This article extends the multivariate extreme value theory (MEVT) to discrete settings, focusing on the generalized Pareto distribution (GPD) as a foundational tool. The purpose of…
Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks
Julien Hambuckers, Marie Kratz, Antoine Usseglio-Carleve
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess…
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…
A self-calibrating method for heavy tailed data modelling. Application in neuroscience and finance
Nehla Debbabi, Marie Kratz, Mamadou Mboup
Modelling non-homogeneous and multi-component data is a problem that challenges scientific researchers in several fields. In general, it is not possible to find a simple and closed…
There is a VaR beyond usual approximations
Marie Kratz
Basel II and Solvency 2 both use the Value-at-Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal approximation is often…