Marc Gürtler

University of Braunschweig - Institute of Technology, Department of Finance

Professor

Abt-Jerusalem-Str. 7

Braunschweig, 38106

Germany

SCHOLARLY PAPERS

29

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CITATIONS
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Top 30,769

in Total Papers Citations

7

Scholarly Papers (29)

1.

Measuring Concentration Risk for Regulatory Purposes

Number of pages: 49 Posted: 04 Mar 2008 Last Revised: 22 Jun 2016
University of Braunschweig - Institute of Technology, Department of Finance, University of Duisburg-Essen - Mercator School of Management and Technische Universität Braunschweig - Institute of Finance
Downloads 1,221 (10,667)

Abstract:

Concentration Risk, Pillar 2, Multi-Factor Models, Economic Capital, Simulation Study, Value at Risk, Expected Shortfall

2.

Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered

Number of pages: 47 Posted: 01 May 2009 Last Revised: 25 Jul 2012
NORD/LB, University of Braunschweig - Institute of Technology, Department of Finance and University of Duisburg-Essen - Mercator School of Management
Downloads 1,097 (11,145)
Citation 1

Abstract:

portfolio selection, estimators of moments, simulation study, capital market study, mean-variance optimization, resampled efficiency

3.

Quantitative Forecast Model for the Application of the Black-Litterman Approach

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 28 Posted: 07 Oct 2009 Last Revised: 12 Nov 2010
Franziska Becker and Marc Gürtler
Technische Universität Braunschweig - Institute of Finance and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 465 (41,040)

Abstract:

4.

Improvements in Loss Given Default Forecasts for Bank Loans

24th Australasian Finance and Banking Conference 2011, Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 47 Posted: 10 Feb 2011 Last Revised: 28 Jun 2012
Marc Gürtler and Martin Thomas Hibbeln
University of Braunschweig - Institute of Technology, Department of Finance and University of Duisburg-Essen - Mercator School of Management
Downloads 389 (50,048)

Abstract:

Bank loans, Credit risk, Forecasting, Loss given default, Workout process

5.

Accuracy of Premium Calculation Models for CAT Bonds - An Empirical Analysis

Number of pages: 36 Posted: 23 Apr 2009 Last Revised: 06 Dec 2011
University of Florence - Department of Mathematics for Decisions, University of Braunschweig - Institute of Technology, Department of Finance and Technology University of Braunschweig
Downloads 385 (53,412)

Abstract:

CAT Bonds, Alternative Risk Transfer, Premium Calculation Models, Empirical Analysis

The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds

Number of pages: 44 Posted: 03 Sep 2012 Last Revised: 15 Jul 2014
University of Braunschweig - Institute of Technology, Department of Finance, University of Duisburg-Essen - Mercator School of Management and Technology University of Braunschweig
Downloads 287 (82,145)
Citation 1

Abstract:

CAT Bonds, Financial Crisis, Catastrophe Events, Risk Premium

The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds

Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 579-612, 2016
Number of pages: 34 Posted: 09 Aug 2016
University of Braunschweig - Institute of Technology, Department of Finance, University of Duisburg-Essen - Mercator School of Management and Technology University of Braunschweig
Downloads 1 (549,098)
Citation 1

Abstract:

7.

Financial Crises and Information Transfer - An Empirical Analysis of the Lead-Lag Relationship between Equity and CDS iTraxx Indices

Number of pages: 28 Posted: 08 Apr 2010
Stefan Ehlers, Marc Gürtler and Sven Olboeter
Technische Universität Braunschweig - Institute of Finance, University of Braunschweig - Institute of Technology, Department of Finance and University of Braunschweig - Institute of Technology , Department of Finance
Downloads 285 (74,925)
Citation 4

Abstract:

Granger-causality, iTraxx Indices, Credit Default Swaps, Day-of-the-Week-Effect, Feedback System

8.

Two-Fund Separation and HARA Utility Reconsidered

Number of pages: 68 Posted: 04 Feb 2005 Last Revised: 12 Aug 2009
Wolfgang Breuer and Marc Gürtler
Aachen University - Department of Finance and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 283 (81,941)

Abstract:

bias in beta, borrowing restrictions, Capital Asset Pricing Model, HARA utility, performance evaluation, two-fund separation

9.

Shortcomings of a Parametric VaR Approach and Nonparametric Improvements Based on a Non-Stationary Return Series Model

Number of pages: 45 Posted: 10 Jun 2009 Last Revised: 01 Oct 2009
Marc Gürtler and Ronald Rauh
University of Braunschweig - Institute of Technology, Department of Finance and Öffentliche Versicherung Braunschweig
Downloads 259 (88,015)
Citation 1

Abstract:

delta-normal model, volatility, Value at Risk (VaR), heteroscedastic asset returns, non-stationarity, non-parametric regression, innovation modelling, forecasting, backtesting

10.

Analysts' Dividend Forecasts, Portfolio Selection, and Market Risk Premia

Number of pages: 32 Posted: 03 Mar 2008
Franziska Becker, Wolfgang Breuer and Marc Gürtler
NORD/LB, Aachen University - Department of Finance and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 253 (92,371)

Abstract:

analysts` forecasts, CAPM, implied returns, market risk premium, portfolio optimization, return estimation

11.

Stochastic Implied Rates of Return, Portfolio Optimization, and the Equity Premium Puzzle

Number of pages: 44 Posted: 09 Feb 2010 Last Revised: 04 Mar 2013
Wolfgang Breuer and Marc Gürtler
Aachen University - Department of Finance and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 252 (93,132)

Abstract:

analysts’ dividend forecasts, equity premium puzzle, implied rate of return, portfolio optimization

12.

Do Investors Consider Asymmetric Information in Pricing Securitizations?

Number of pages: 25 Posted: 18 Jul 2012 Last Revised: 29 Apr 2013
Marc Gürtler and Martin Thomas Hibbeln
University of Braunschweig - Institute of Technology, Department of Finance and University of Duisburg-Essen - Mercator School of Management
Downloads 172 (107,800)

Abstract:

security design, asset-backed securities, retention, credit spreads

13.

Coherent Banking Capital and Optimal Credit Portfolio Structure

Number of pages: 12 Posted: 07 Nov 2006
Wolfgang Breuer and Marc Gürtler
Aachen University - Department of Finance and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 160 (143,763)

Abstract:

Basel II, Coherent Risk Capital, Regulatory Capital, Separation

14.

Empirical Studies in a Multivariate Non-stationary, Nonparametric Regression Model for Financial Returns

Number of pages: 43 Posted: 09 Jan 2013 Last Revised: 12 Jan 2013
Marc Gürtler and Ronald Rauh
University of Braunschweig - Institute of Technology, Department of Finance and Öffentliche Versicherung Braunschweig
Downloads 128 (163,553)

Abstract:

heteroscedasticity, non-stationarity, nonparametric regression, volatility, covariance matrix, innovation modeling, asymmetric heavy-tails, multivariate distributional forecast, empirical studies

15.

Insured Loss Inflation: How Natural Catastrophes Affect Reconstruction Costs

Number of pages: 41 Posted: 23 Feb 2013 Last Revised: 06 Mar 2014
University of Braunschweig - Institute of Technology, Department of Finance, University of Braunschweig - Institute of Technology, Department of Finance and University of Duisburg-Essen - Mercator School of Management
Downloads 107 (163,553)

Abstract:

Demand Surge, Natural Catastrophes, Reconstruction, Insured Losses

16.

Informational Synergies in Consumer Credit

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 45 Posted: 12 Dec 2014 Last Revised: 02 Dec 2016
University of Duisburg-Essen - Mercator School of Management, Brazilian School of Public and Business Administration (EBAPE), Getulio Vargas Foundation (FGV), University of Braunschweig - Institute of Technology, Department of Finance and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 103 (115,560)

Abstract:

Asymmetric information, credit risk, checking accounts, credit cards, bankruptcy

17.

Challenging Traditional Risk Models by a Non-Stationary Approach with Nonparametric Heteroscedasticity

Number of pages: 31 Posted: 16 Nov 2012
Marc Gürtler and Ronald Rauh
University of Braunschweig - Institute of Technology, Department of Finance and Öffentliche Versicherung Braunschweig
Downloads 75 (237,014)

Abstract:

heteroscedastic asset returns, non-stationarity, nonparametric regression, volatility, innovation modelling, forecasting, Value at Risk (VaR), ARCH-models

18.

Inequality Aversion and Externalities

Number of pages: 24 Posted: 20 Jun 2011 Last Revised: 29 Nov 2011
Marc Gürtler and Oliver Gürtler
University of Braunschweig - Institute of Technology, Department of Finance and University of Cologne
Downloads 72 (253,801)

Abstract:

inequality aversion, externalities, direct effects, indirect effects

19.

The Optimality of Heterogeneous Tournaments

Number of pages: 37 Posted: 04 Jan 2013 Last Revised: 26 Feb 2014
Marc Gürtler and Oliver Gürtler
University of Braunschweig - Institute of Technology, Department of Finance and University of Cologne
Downloads 68 (237,014)

Abstract:

Tournament, promotion, competitive labor market, heterogeneity, learning

20.

A Multivariate Non-stationary Approach for Financial Returns with Nonparametric Heteroscedasticity

Number of pages: 58 Posted: 28 Sep 2009 Last Revised: 12 Jan 2013
Marc Gürtler, Jens‐Peter Kreiss and Ronald Rauh
University of Braunschweig - Institute of Technology, Department of Finance, Technology University of Braunschweig - Department of Mathematics and Öffentliche Versicherung Braunschweig
Downloads 64 (270,291)

Abstract:

non-stationary financial returns, nonparametric regression, volatility, covariance matrix, innovation modeling, asymmetric heavy-tails, distributional forecast, Value at Risk (VaR)

21.

The Interaction of Explicit and Implicit Contracts: A Signaling Approach

Number of pages: 25 Posted: 02 Apr 2012 Last Revised: 09 May 2014
Marc Gürtler and Oliver Gürtler
University of Braunschweig - Institute of Technology, Department of Finance and University of Cologne
Downloads 57 (268,153)

Abstract:

explicit contracts, implicit contracts, separating equilibrium, substitutes, strategic complementarity

22.

Promotion Signaling, Discrimination, and Positive Discrimination Policies

Number of pages: 43 Posted: 01 Aug 2015 Last Revised: 23 Oct 2016
Marc Gürtler and Oliver Gürtler
University of Braunschweig - Institute of Technology, Department of Finance and University of Cologne
Downloads 9 (348,620)

Abstract:

promotion, signaling, discrimination, positive discrimination policy, inequality

23.

Accuracy of Premium Calculation Models for CAT Bonds - An Empirical Analysis

Journal of Risk and Insurance, Vol. 80, Issue 2, pp. 401-421, 2013
Number of pages: 21 Posted: 22 May 2013
University of Florence - Department of Mathematics for Decisions, University of Braunschweig - Institute of Technology, Department of Finance and Technology University of Braunschweig
Downloads 1 (521,842)

Abstract:

24.

Is the Bond or the Issuer Rating Relevant? The Impact of Credit-Rating Events on Covered-Bond Prices

Number of pages: 47 Posted: 12 Jan 2017
Marc Gürtler and Philipp Neelmeier
University of Braunschweig - Institute of Technology, Department of Finance and University of Braunschweig – Institute of Technology, Department of Finance
Downloads 0 (475,758)

Abstract:

Covered Bonds, Credit Ratings, Event Study

25.

Empirical Analysis of the International Public Covered Bond Market

Number of pages: 38 Posted: 27 Oct 2016
Marc Gürtler and Philipp Neelmeier
University of Braunschweig - Institute of Technology, Department of Finance and University of Braunschweig – Institute of Technology, Department of Finance
Downloads 0 (445,222)

Abstract:

Public Covered Bonds, Risk Premiums, Financial Crisis, Sovereign Debt Crisis, Threshold Regression

26.

The Price Effect of Supply and Demand Shocks on Secondary Markets - Evidence from the 'Cash-for-Clunkers' Program in Germany

Number of pages: 46 Posted: 03 Mar 2016
University of Braunschweig - Institute of Technology, Department of Finance, University of Braunschweig - Institute of Technology, Department of Finance and University of Duisburg-Essen - Mercator School of Management
Downloads 0 (352,101)

Abstract:

Subsidy, Secondary Markets, Durable Goods, Automobile Industry, Policy Evaluation, Residual Value Risk

27.

Market-Based Tournaments: An Experimental Investigation

Number of pages: 38 Posted: 19 Nov 2015 Last Revised: 21 Dec 2016
Lisa Dickmanns, Marc Gürtler and Oliver Gürtler
University of Cologne, University of Braunschweig - Institute of Technology, Department of Finance and University of Cologne
Downloads 0 (263,963)

Abstract:

Tournament, promotion, learning, experiment

28.

Crunch Time: A Policy to Avoid the ‘Announcement Effect’ When Terminating a Subsidy

German Economic Review, Vol. 11, No. 1, pp. 25-36, 2009
Posted: 30 Sep 2011
Marc Gürtler and Gernot Sieg
University of Braunschweig - Institute of Technology, Department of Finance and WWU Münster

Abstract:

Irreversibility, investment, announcement effect, subsidy, tax

29.

Kimball's Prudence and Two-Fund Separation as Determinants of Mutual Fund Performance Evaluation

Kredit und Kapital, 2007
Posted: 20 Aug 2007
Wolfgang Breuer and Marc Gürtler
Aachen University - Department of Finance and University of Braunschweig - Institute of Technology, Department of Finance

Abstract:

investor specific performance measure, performance evaluation, prudence, skewness preferences