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

30

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Top 29,057

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3,519

TOTAL CITATIONS
Rank 14,914

SSRN RANKINGS

Top 14,914

in Total Papers Citations

71

Scholarly Papers (30)

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1.

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 712 (72,976)
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

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 486 (117,583)
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 316 (191,160)
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.

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 137 (415,777)

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

5.

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 134 (423,036)
Citation 3

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Diversification, Insurance Risk

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 128 (438,432)
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.

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 126 (443,698)
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

8.

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 124 (449,155)

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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

9.

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 115 (475,689)
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

10.

Managing Cyber Risk, a Science in the Making

ESSEC Business School Research Paper No. 2024-01
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 114 (478,736)

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

11.

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 97 (536,797)
Citation 4

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

12.

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 95 (544,083)

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

13.

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 92 (555,215)

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

14.

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 91 (559,091)

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

15.

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 88 (570,701)

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

16.

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 80 (604,169)

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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

17.

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 80 (604,169)

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18.

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 63 (684,884)
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

19.

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 Last Revised: 31 May 2024
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 59 (706,453)

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Extreme value theory, generalized Pareto regression, censored maximum likelihood

20.

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 56 (723,415)
Citation 2

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

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 45 (794,156)
Citation 2

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22.

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 44 (801,250)

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

23.

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 44 (801,250)

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

24.

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 Friedrich-Schiller-Universität Jena - Institut fur Stochastik
Downloads 42 (815,587)

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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

25.

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 37 (854,172)
Citation 2

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

26.

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 31 (905,624)

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27.

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 28 (933,380)

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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

28.

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 25 (962,670)

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

29.

Comparing Multivariate Distributions: A Novel Approach Using Optimal Transport-based Plots

ESSEC Business School Research Paper
Number of pages: 48 Posted: 25 May 2024
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 17 (1,048,764)

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Q-Q plots, multivariate quantile, optimal transport, entropy regularisation, hypothesis testing, geometric quantile, tail behavior

30.

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 13 (1,094,506)

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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