83 citations · 127 across the 25 of their papers we have counts for
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q-fin.RM2013
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…
q-fin.RM2013
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…
stat.ME2013★ 4 cited
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…