Marius Hofert

The University of Hong Kong

Hong Kong

Hong Kong

SCHOLARLY PAPERS

5

DOWNLOADS

737

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (5)

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1.

Statistical Review of Nuclear Power Accidents

Number of pages: 13 Posted: 06 Sep 2011 Last Revised: 04 Jul 2012
Marius Hofert and Mario V. Wuthrich
The University of Hong Kong and RiskLab, ETH Zurich
Downloads 600 (73,019)
Citation 8

Abstract:

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nuclear safety, nuclear power accidents, risk managment, Fukushima, extremes, extreme value theory, Pareto distribution, Hill plot, peaks-over-threshold

2.

Assessing ChatGPT’s Proficiency in Quantitative Risk Management

Number of pages: 37 Posted: 12 May 2023
Marius Hofert
The University of Hong Kong
Downloads 113 (393,147)

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ChatGPT, quantitative risk management, risk, risk measures, time series, extremes, dependence

3.

Correlation Pitfalls With ChatGPT: Would You Fall for Them?

Number of pages: 22 Posted: 19 May 2023
Marius Hofert
The University of Hong Kong
Downloads 24 (781,956)

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ChatGPT, correlation, dependence, pitfalls

4.

Statistics and Quantitative Risk Management for Banking and Insurance

Annual Review of Statistics and Its Application, Vol. 1, Issue 1, pp. 493-514, 2014
Posted: 07 Mar 2014
Paul Embrechts and Marius Hofert
Swiss Federal Institute of Technology Zurich and The University of Hong Kong

Abstract:

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5.

Modeling the Evolution of Implied CDO Correlations

Financial Markets and Portfolio Management, Vol. 24, No. 3, 2010
Posted: 03 Sep 2010
Marius Hofert, Matthias A. Scherer and Rudi Zagst
The University of Hong Kong, Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance

Abstract:

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CDO, Implied correlation, Gaussian copula model