Marie Kratz

ESSEC Business School - Information & Decision Sciences Department

Avenue Bernard Hirsch B.P. 50105

Cergy-Pontoise (Paris), 95021

France

  • ESSEC Business School - Information & Decision Sciences Department

SCHOLARLY PAPERS

20

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SSRN CITATIONS
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Top 15,989

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26

CROSSREF CITATIONS

43

Scholarly Papers (20)

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1.

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

Downloads 629 ( 61,294)
Citation 53

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 - Information & Decision Sciences Department
Downloads 629 (60,532)
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.

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 - Information & Decision Sciences Department, Heriot-Watt University and Heriot-Watt University
Downloads 271 (161,144)
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

3.

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, DEAR-Consulting and ESSEC Business School - Information & Decision Sciences Department
Downloads 97 (376,063)

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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

4.

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
DEAR-Consulting, SCOR and ESSEC Business School - Information & Decision Sciences Department
Downloads 93 (386,079)
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

5.

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
Independent, ESSEC Business School - Information & Decision Sciences Department and University of Reims Champagne-Ardenne
Downloads 76 (435,318)
Citation 1

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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

6.

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
DEAR-Consulting, ESSEC Business School, Department of Management, Students and ESSEC Business School - Information & Decision Sciences Department
Downloads 67 (465,534)

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

7.

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, DEAR-Consulting and ESSEC Business School - Information & Decision Sciences Department
Downloads 66 (469,158)

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

8.

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, DEAR-Consulting and ESSEC Business School - Information & Decision Sciences Department
Downloads 59 (495,827)

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

9.

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 - National Polytechnic Institute, National Polytechnic School - National Polytechnic Institute and ESSEC Business School - Information & Decision Sciences Department
Downloads 54 (516,353)

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10.

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 - Information & Decision Sciences Department
Downloads 49 (538,576)

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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

11.

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 - Information & Decision Sciences Department
Downloads 41 (577,852)
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

12.

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 - Information & Decision Sciences Department
Downloads 27 (662,257)

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

13.

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 - Information & Decision Sciences Department
Downloads 24 (684,547)

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

14.

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 - Information & Decision Sciences Department
Downloads 20 (716,242)

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

15.

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 - Information & Decision Sciences Department and University of Jena - Institut fur Stochastik
Downloads 20 (716,242)

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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

16.

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 - Information & Decision Sciences Department and Tata Institute of Fundamental Research (TIFR)
Downloads 18 (732,682)
Citation 1

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

17.

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 - Information & Decision Sciences Department and KU Leuven
Downloads 17 (741,369)
Citation 1

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18.

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 - Information & Decision Sciences Department
Downloads 11 (797,648)

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

19.

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

Number of pages: 46
Marie Kratz, Michel M. Dacorogna and Nehla Debbabi
ESSEC Business School - Information & Decision Sciences Department, DEAR-Consulting and Independent
Downloads 3

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

20.

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 - Information & Decision Sciences Department and Sobolev Institute of Mathematics
Downloads 2 (900,848)

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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