Marius Hofert

ETH Zurich, RiskLab, Department of Mathematics

Rämistrasse 101

Zurich, 8092

Switzerland

SCHOLARLY PAPERS

4

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494

CITATIONS
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6

Scholarly Papers (4)

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
ETH Zurich, RiskLab, Department of Mathematics and RiskLab, ETH Zurich
Downloads 494 (55,484)
Citation 6

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.

An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates

Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 735-776, 2016
Number of pages: 42 Posted: 09 Aug 2016
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), Swiss Federal Institute of Technology Zurich and ETH Zurich, RiskLab, Department of Mathematics
Downloads 0 (661,710)
Citation 18
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Abstract:

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3.

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 ETH Zurich, RiskLab, Department of Mathematics

Abstract:

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4.

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
ETH Zurich, RiskLab, Department of Mathematics, Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance

Abstract:

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CDO, Implied correlation, Gaussian copula model