Marie Kratz

ESSEC Business School, CREAR

Prof.

Avenue Bernard Hirsch

BP 50105 CERGY

CERGY, CERGY PONTOISE CEDEX 95021

France

SCHOLARLY PAPERS

6

DOWNLOADS

583

SSRN CITATIONS
Rank 17,517

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Top 17,517

in Total Papers Citations

18

CROSSREF CITATIONS

43

Scholarly Papers (6)

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 and Swiss Financial Market Supervisory Authority (FINMA)
Downloads 0
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
DEAR-Consulting and ESSEC Business School, CREAR
Downloads 358 (118,676)
Citation 4

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extreme risk, risk management

3.

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, DEAR-Consulting and ESSEC Business School, CREAR
Downloads 83 (406,143)
Citation 3

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Diversification, Insurance Risk

4.

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
Durham Business School, ESSEC Business School and ESSEC Business School, CREAR
Downloads 58 (490,540)
Citation 4

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

5.

Explicit Diversification Beneift for Dependent Risks

SCOR papers, No. 38, 2016
Number of pages: 27 Posted: 18 Apr 2016
DEAR-Consulting, SCOR and ESSEC Business School, CREAR
Downloads 54 (506,608)
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

6.

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
Downloads 30 (629,011)
Citation 2

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