Marc Gürtler

University of Braunschweig - Institute of Technology, Department of Finance

Professor

Abt-Jerusalem-Str. 7

Braunschweig, 38106

Germany

SCHOLARLY PAPERS

31

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8,399

SSRN CITATIONS
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SSRN RANKINGS

Top 15,091

in Total Papers Citations

29

CROSSREF CITATIONS

35

Scholarly Papers (31)

1.

Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered

European Journal of Finance, Vol. 21, 2015, pp. 269-291
Number of pages: 47 Posted: 01 May 2009 Last Revised: 24 Aug 2018
NORD/LB, University of Braunschweig - Institute of Technology, Department of Finance and University of Duisburg-Essen - Mercator School of Management
Downloads 1,537 (12,182)
Citation 4

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

2.

Measuring Concentration Risk for Regulatory Purposes

Journal of Risk, Vol. 12, 2010, pp. 69-104
Number of pages: 49 Posted: 04 Mar 2008 Last Revised: 24 Aug 2018
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 1,412 (13,991)
Citation 2

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

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 663 (41,671)
Citation 2

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4.

Improvements in Loss Given Default Forecasts for Bank Loans

Journal of Banking & Finance, 2013, Vol. 37, pp. 2354-2366
Number of pages: 47 Posted: 10 Feb 2011 Last Revised: 22 Aug 2018
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 579 (49,857)

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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 499 (60,092)
Citation 2

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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 375 (83,936)
Citation 10

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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
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7.

Informational Synergies in Consumer Credit

Journal of Financial Intermediation, Forthcoming
Number of pages: 48 Posted: 12 Dec 2014 Last Revised: 29 Feb 2020
University of Duisburg-Essen - Mercator School of Management, Getulio Vargas Foundation (FGV) - Brazilian School of Public and Business Administration (EBAPE), University of Braunschweig - Institute of Technology, Department of Finance and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 340 (94,736)
Citation 1

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Household finance, credit risk, asymmetric information, account activity, consumer bankruptcy

8.

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 338 (95,355)
Citation 3

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

9.

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
RWTH Aachen University and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 315 (103,155)

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

10.

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 283 (115,642)
Citation 3

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

11.

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, RWTH Aachen University and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 274 (119,742)
Citation 1

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

12.

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
RWTH Aachen University and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 268 (122,498)

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

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 171 (187,754)

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Demand Surge, Natural Catastrophes, Reconstruction, Insured Losses

Insured Loss Inflation: How Natural Catastrophes Affect Reconstruction Costs

Journal of Risk and Insurance, Vol. 84, Issue 3, pp. 851-879, 2017
Number of pages: 29 Posted: 15 Aug 2017
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
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14.

Coherent Banking Capital and Optimal Credit Portfolio Structure

Number of pages: 12 Posted: 07 Nov 2006
Wolfgang Breuer and Marc Gürtler
RWTH Aachen University and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 169 (189,675)

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Basel II, Coherent Risk Capital, Regulatory Capital, Separation

15.

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 151 (208,609)

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

16.

Promotion Signaling, Discrimination, and Positive Discrimination Policies

Number of pages: 45 Posted: 01 Aug 2015 Last Revised: 02 Mar 2019
Marc Gürtler and Oliver Gürtler
University of Braunschweig - Institute of Technology, Department of Finance and University of Cologne
Downloads 130 (235,175)
Citation 5

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promotion, signaling, discrimination, positive discrimination policy

17.

Market-Based Tournaments: An Experimental Investigation

Number of pages: 48 Posted: 19 Nov 2015 Last Revised: 15 Nov 2017
Lisa Dickmanns, Marc Gürtler and Oliver Gürtler
University of Cologne, University of Braunschweig - Institute of Technology, Department of Finance and University of Cologne
Downloads 123 (245,177)
Citation 1

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Tournament, promotion, learning, experiment

18.

Reply to 'Comment on 'Markowitz Versus Michaud: Portfolio Optimization Strategies Reconsidered''

Number of pages: 6 Posted: 14 Apr 2017
NORD/LB, University of Braunschweig - Institute of Technology, Department of Finance and University of Duisburg-Essen - Mercator School of Management
Downloads 119 (251,366)
Citation 1

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

19.

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 95 (293,632)
Citation 1

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

20.

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 91 (301,686)
Citation 4

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Tournament, promotion, competitive labor market, heterogeneity, learning

21.

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 88 (308,085)
Citation 1

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

22.

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 80 (326,576)

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inequality aversion, externalities, direct effects, indirect effects

23.

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 77 (333,936)

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

24.

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 72 (346,828)
Citation 1

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

25.

How to Deal with Small Data Sets in Machine Learning: An Analysis on the CAT Bond Market

Number of pages: 28 Posted: 26 Feb 2020
Tobias Götze, Marc Gürtler and Eileen Witowski
Technische Universität Braunschweig - Institute of Finance, University of Braunschweig - Institute of Technology, Department of Finance and Technische Universität Braunschweig - Institute of Finance
Downloads 52 (407,881)

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CAT bonds, meachine learning, regression, risk premium

26.

Firm Choice and Career Success — Theory and Evidence

Number of pages: 37 Posted: 11 Jan 2019 Last Revised: 21 Apr 2020
Bielefeld University, University of Braunschweig - Institute of Technology, Department of Finance, University of Cologne and California State University, East Bay
Downloads 47 (425,898)
Citation 1

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Firm choice, big and small pond, career, self-selection, signaling, learning

27.

Big Fish in Small (and Big) Ponds - A Study of Careers

Number of pages: 64 Posted: 09 Jan 2019 Last Revised: 05 May 2020
California State University, East Bay, University of Cologne, University of Braunschweig - Institute of Technology, Department of Finance and Bielefeld University
Downloads 25 (527,075)
Citation 1

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careers, promotions, private information about worker ability, asymmetric learning, job-assignment signaling, big fish, big pond, small fish, small pond

28.

Exposure at Default Modeling - A Theoretical and Empirical Assessment of Estimation Approaches and Parameter Choice

Journal of Banking & Finance, Vol. 91, 2018, pp. 176–188
Number of pages: 42 Posted: 25 Sep 2015 Last Revised: 24 Aug 2018
University of Braunschweig - Institute of Technology, Department of Finance, University of Duisburg-Essen - Mercator School of Management and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 23 (538,972)

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Credit risk, checking accounts, exposure at default, credit conversion factor, probability of default

29.

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 2 (681,754)
Citation 4
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30.

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

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Irreversibility, investment, announcement effect, subsidy, tax

31.

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
RWTH Aachen University and University of Braunschweig - Institute of Technology, Department of Finance

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