Marie Kratz

ESSEC Business School, CREAR risk research center

Prof. Dr.

Avenue Bernard Hirsch

BP 50105

CERGY PONTOISE CEDEX 95021

France

  • ESSEC Business School, CREAR risk research center

SCHOLARLY PAPERS

29

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63

CROSSREF CITATIONS

88

Scholarly Papers (29)

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1.

What is the Best Risk Measure in Practice? A Comparison of Standard Measures

Downloads 652 (68,295)
Citation 61

What is the Best Risk Measure in Practice? A Comparison of Standard Measures

Journal of Risk 18(2), 31-60, 2015
Number of pages: 27 Posted: 21 Dec 2013 Last Revised: 13 Jul 2017
Susanne Emmer, Dirk Tasche and Marie Kratz
ESSEC Business School, Swiss Financial Market Supervisory Authority (FINMA) and ESSEC Business School, CREAR risk research center
Downloads 652 (67,390)
Citation 25

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Backtesting; Capital Allocation; Coherence; Diversification; Elicitability; Expected Shortfall; Expectile; Forecasts; Probability Integral Transform (PIT); Risk Measure; Risk Management; Robustnes; Value-at-Risk

What Is the Best Risk Measure in Practice? A Comparison of Standard Measures

Journal of Risk, Vol. 18, No. 2, 2015
Number of pages: 30 Posted: 25 Jun 2016
Susanne Emmer, Marie Kratz and Dirk Tasche
ESSEC Business School, ESSEC Business School, CREAR risk research center and Swiss Financial Market Supervisory Authority (FINMA)
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Citation 13
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backtesting, capital allocation, coherence, diversification, conditional elicitability, risk measures

2.

Living in a Stochastic World and Managing Complex Risks

Number of pages: 14 Posted: 02 Oct 2015 Last Revised: 13 May 2016
Michel M. Dacorogna and Marie Kratz
PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 412 (119,490)
Citation 6

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extreme risk, risk management

3.

Multinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall

ESSEC WORKING PAPER 1617
Number of pages: 32 Posted: 13 Jan 2017 Last Revised: 13 Jul 2017
Marie Kratz, Yen Lok and Alexander J. McNeil
ESSEC Business School, CREAR risk research center, Heriot-Watt University and Heriot-Watt University
Downloads 298 (170,286)
Citation 10

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backtesting, banking regulation, coherence, elicitability, expected short-fall, heavy tail, likelihood ratio test, multinomial distribution, Nass test, Pearson test, risk management, risk measure, statistical test, tail of distribution, value-at-risk

4.

The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio

ESSEC Business School Working Paper 1321
Number of pages: 19 Posted: 07 Dec 2013 Last Revised: 13 Jul 2017
Marc Busse, Michel M. Dacorogna and Marie Kratz
Munich Re, PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 112 (402,293)

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Diversification, Expected Shortfall, Investment Risk, Premium, Risk Loading, Risk Management, Risk Measure, Risk Portfolio, Stochastic Model, Systemic Risk, Value-at-Risk

5.

Explicit Diversification Benefit for Dependent Risks

ESSEC Working Paper 1522
Number of pages: 24 Posted: 15 Jan 2016 Last Revised: 13 Jul 2017
Michel M. Dacorogna, Laila Elbahtouri and Marie Kratz
PRS Solutions, SCOR and ESSEC Business School, CREAR risk research center
Downloads 108 (412,919)
Citation 5

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Aggregation of risks, Archimedean copula, Clayton, Diversification (benefit), Gaussian, Gumbel, Heavy tail, Mixing technique, Pareto, Risk measure, TVaR, VaR, Weibull

6.

A Self-Calibrating Method for Heavy Tailed Data Modeling: Application in Neuroscience and Finance

ESSEC WORKING PAPER 1619
Number of pages: 28 Posted: 13 Jan 2017 Last Revised: 13 Jul 2017
Nehla Debbabi, Marie Kratz and Mamadou Mboup
ESPRIT School of Engineering, ESSEC Business School, CREAR risk research center and University of Reims Champagne-Ardenne
Downloads 106 (418,375)
Citation 4

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Algorithm, Extreme Value Theory, Gaussian distribution, Generalized Pareto Distribution, Heavy tailed data, Hybrid model, Least squares optimization, Levenberg Marquardt algorithm, Neural data, S&P 500 index

7.

Does Risk Diversification Always Work? The Answer Through Simple Modelling

Number of pages: 20 Posted: 21 Jun 2013
Marc Busse, Michel M. Dacorogna and Marie Kratz
Munich Re, PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 106 (418,375)
Citation 3

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Diversification, Insurance Risk

8.

Risk Neutral versus Real-World Distribution on Publicly Listed Bank Corporations

ESSEC Working Paper 1614, July 2016
Number of pages: 86 Posted: 29 Sep 2016 Last Revised: 13 Jul 2017
Michel M. Dacorogna, Juan-José Francisco Miguelez and Marie Kratz
PRS Solutions, ESSEC Business School, Department of Management, Students and ESSEC Business School, CREAR risk research center
Downloads 95 (450,870)

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extremes, fat tail, option pricing, real world probability, risk neutral probability, SIFI, value-­at-­risk

9.

Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study

ESSEC WORKING PAPER 1618
Number of pages: 26 Posted: 13 Jan 2017 Last Revised: 13 Jul 2017
Rosnan Chotard, Michel M. Dacorogna and Marie Kratz
ESSEC Business School, PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 82 (493,968)

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backtest, risk measure, sample quantile process, stochastic model, VaR, volatility

10.

Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model

Number of pages: 46 Posted: 04 Oct 2013 Last Revised: 14 Oct 2013
Anurag Narayan Banerjee, Guillaume Chevillon and Marie Kratz
Durham Business School, ESSEC Business School and ESSEC Business School, CREAR risk research center
Downloads 79 (504,869)
Citation 4

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Bubbles, Random Coefficient Autoregressive Model, Local asymptotics, Asset Prices

11.

Explicit Diversification Beneift for Dependent Risks

SCOR papers, No. 38, 2016
Number of pages: 27 Posted: 18 Apr 2016
Michel M. Dacorogna, Laila Elbahtouri and Marie Kratz
PRS Solutions, SCOR and ESSEC Business School, CREAR risk research center
Downloads 76 (516,303)
Citation 2

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Aggregation of risks, Archimedean copula, Clayton, Diversification (benefit), Gaussian, Gumbel, Heavy tail, Mixing technique, Pareto, Risk measure, TVaR, VaR, Weibull

12.

Predicting Risk with Risk Measures: An Empirical Study

ESSEC Working Paper 1803, February 2018
Number of pages: 47 Posted: 25 May 2018 Last Revised: 19 Jan 2021
Marcel Bräutigam, Michel M. Dacorogna and Marie Kratz
ESSEC Business School, PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 72 (532,216)

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risk measure, sample quantile process, stochastic model, VaR, volatility

13.

Modelling Macroeconomic Effects and Expert Judgements in Operational Risk: A Bayesian Approach

Number of pages: 19 Posted: 28 Sep 2013 Last Revised: 13 Jul 2017
Capa Santos Holger, Mosquera Munoz Franklin and Marie Kratz
National Polytechnic School (EPN) - National Polytechnic Institute, National Polytechnic School (EPN) - National Polytechnic Institute and ESSEC Business School, CREAR risk research center
Downloads 68 (548,972)

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14.

There is a VaR Beyond Usual Approximations

ESSEC Working Paper 1317
Number of pages: 35 Posted: 19 Nov 2013 Last Revised: 13 Jul 2017
ESSEC Business School Submitter and Marie Kratz
ESSEC Business School and ESSEC Business School, CREAR risk research center
Downloads 62 (580,109)

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Aggregated risk, (refined) Berry-Esséen Inequality, (generalized) Central Limit Theorem, Conditional (Pareto) Distribution, Conditional (Pareto) Moment, Convolution, Expected Short Fall, Extreme Values, Financial Data, High Frequency Data, Market Risk, Order Statistics, Pareto Distribution

15.

Building up Cyber Resilience by Better Grasping Cyber Risk Via a New Algorithm for Modelling Heavy-Tailed Data

ESSEC Business School Research Paper No. 2210
Number of pages: 46 Posted: 23 Jan 2023 Last Revised: 07 May 2023
Michel M. Dacorogna, Nehla Debbabi and Marie Kratz
PRS Solutions, ESPRIT School of Engineering and ESSEC Business School, CREAR risk research center
Downloads 60 (584,850)

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Risk analysis; Cyber risk; Systemic risk; Extreme Value Theory; Statistical analysis; Probabilistic modelling; Risk management; Insurance

16.

Managing Cyber Risk, a Science in the Making

ESSEC Business School Research Paper No. 2302
Number of pages: 30 Posted: 15 Feb 2023
Michel M. Dacorogna and Marie Kratz
PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 58 (594,549)

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Cyber risk; Cyber security; Cyber resilience; Insurance; Modelling; Risk management

17.

An Extension of the Class of Regularly Varying Functions

Number of pages: 37 Posted: 22 Dec 2014 Last Revised: 13 Jul 2017
Meitner Cadena and Marie Kratz
ESSEC Business School and ESSEC Business School, CREAR risk research center
Downloads 54 (614,890)
Citation 6

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asymptotic behavior, domains of attraction, extreme value theory, Karamata’s representation theorem, Karamata’s theorem, Karamata’s tauberian theorem, measurable functions, von Mises’ conditions, Peter and Paul distribution, regularly varying function

18.

Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model

Number of pages: 48 Posted: 09 Oct 2013 Last Revised: 13 Jul 2017
Anurag Narayan Banerjee, Guillaume Chevillon and Marie Kratz
Durham Business School, ESSEC Business School and ESSEC Business School, CREAR risk research center
Downloads 51 (630,899)

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Bubbles, Random Coefficient Autoregressive Model, Local Asymptotics, Asset Prices

19.

On Devising Various Alarm Systems for Insurance Companies

IIM Bangalore Research Paper No. 322
Number of pages: 58 Posted: 03 Aug 2012
Shubhabratha Das and Marie Kratz
Indian Institute of Management (IIMB), Bangalore and ESSEC Business School, CREAR risk research center
Downloads 45 (664,880)
Citation 2

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alarm system, capital accumulation function, efficiency, quantitative risk management, risk process, ruin probability

20.

On the Dependence between Quantiles and Dispersion Estimators

ESSEC WORKING PAPER 1807
Number of pages: 92 Posted: 06 Oct 2019
Marcel Bräutigam and Marie Kratz
ESSEC Business School and ESSEC Business School, CREAR risk research center
Downloads 38 (709,239)

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Asymptotic Distribution, Sample Quantile, Measure of Dispersion, Non-linear Dependence, VaR, ES, Correlation

21.

New Results on the Order of Functions at Infinity

ESSEC Working Paper 1708
Number of pages: 21 Posted: 17 Jul 2017
Meitner Cadena, Marie Kratz and Edward Omey
ESSEC Business School, ESSEC Business School, CREAR risk research center and KU Leuven
Downloads 37 (715,894)
Citation 2

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22.

Diversification Benefits Under Multivariate Second Order Regular Variation

ESSEC WORKING PAPER 1706
Number of pages: 26 Posted: 10 May 2017 Last Revised: 13 Jul 2017
Bikramjit Das and Marie Kratz
Singapore University of Technology and Design (SUTD) and ESSEC Business School, CREAR risk research center
Downloads 35 (729,765)

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asymptotic theory, diversification benefit, heavy tail, risk concentration, second order regular variation, value-at-risk

23.

On the Capacity Functional of Excursion Sets of Gaussian Random Fields on R²

Number of pages: 21 Posted: 22 Dec 2014 Last Revised: 13 Jul 2017
Marie Kratz and Werner Nagel
ESSEC Business School, CREAR risk research center and University of Jena - Institut fur Stochastik
Downloads 34 (736,778)

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Capacity functional, Crossings, Excursion set, Gaussian eld, Growing circle method, Rice formulas, Second moment measure, Sweeping line method; Stereology, Stochastic geometry

24.

CLT for Lipschitz-Killing Curvatures of Excursion Sets of Gaussian Random Fields

ESSEC Working Paper 1615, August, 2016
Number of pages: 29 Posted: 29 Sep 2016 Last Revised: 13 Jul 2017
Marie Kratz and Sreekar Vadlamani
ESSEC Business School, CREAR risk research center and Tata Institute of Fundamental Research (TIFR)
Downloads 29 (774,511)
Citation 2

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chaos expansion, CLT, excursion sets, Gaussian fields, Lipschitz-Killing curvatures

25.

Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks

ESSEC Business School Research Paper No. 2023-02
Number of pages: 36 Posted: 09 May 2023
Julien Hambuckers, Marie Kratz and Antoine Usseglio-Carleve
University of Liège - HEC Liège, ESSEC Business School, CREAR risk research center and Université d'Avignon
Downloads 26 (798,231)

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Extreme value theory, generalized Pareto regression, censored maximum likelihood

26.

Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH (p, q) processes

Number of pages: 17 Posted: 10 Jul 2019 Last Revised: 21 Sep 2022
Marcel Bräutigam and Marie Kratz
ESSEC Business School and ESSEC Business School, CREAR risk research center
Downloads 19 (859,363)

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asymptotic distribution, functional central limit theorem, (augmented) GARCH, correlation, (sample) quantile, measure of dispersion, (sample) mean absolute deviation, (sample) variance

27.

On the Relation between Extremal Dependence and Concomitants

ESSEC Business School Research Paper No. 2023-1
Number of pages: 34 Posted: 23 Jan 2023
Amir Khorrami Chokami and Marie Kratz
Universita di Torino and ESSEC Business School, CREAR risk research center
Downloads 16 (887,570)

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28.

From Geometric Quantiles to Halfspace Depths: A Geometric Approach for External Behaviour.

ESSEC Business School Research Paper No. 2307
Number of pages: 48 Posted: 22 Jun 2023
Sibsankar Singha, Marie Kratz and Sreekar Vadlamani
Tata Institute of Fundamental Research (TIFR), ESSEC Business School, CREAR risk research center and Tata Institute of Fundamental Research (TIFR)
Downloads 10 (945,790)

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asymptotic theorems, concentration inequality, halfspace (or Tukey) depth, empirical process, extreme quantile, geometric quantile, multivariate quantile, tail behaviour, VC type class MSC 2020: Primary: 60F99, 62G30, 62G32, 62H11. Secondary: 60-08, 60B10

29.

Multi-Normex Distributions for the Sum of Random Vectors. Rates of Convergence

Number of pages: 60 Posted: 18 Aug 2021
Marie Kratz and Evgeny Prokopenko
ESSEC Business School, CREAR risk research center and Sobolev Institute of Mathematics
Downloads 5 (989,430)

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aggregation, central limit theorem, dependence, extreme value theorem, geometrical quantiles, multivariate regular variation, (multivariate) Pareto distribution, ordered statistics, QQ-plots, rate of convergence, second order regular variation, sum of random vectors