Marc Gürtler

University of Braunschweig - Institute of Technology, Department of Finance

Professor

Abt-Jerusalem-Str. 7

Braunschweig, 38106

Germany

SCHOLARLY PAPERS

32

DOWNLOADS
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SSRN RANKINGS

Top 6,488

in Total Papers Downloads

12,549

SSRN CITATIONS
Rank 17,652

SSRN RANKINGS

Top 17,652

in Total Papers Citations

60

CROSSREF CITATIONS

20

Scholarly Papers (32)

1.

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 1,945 (16,139)
Citation 2

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

2.

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 1,819 (18,004)
Citation 1

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

3.

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 1,724 (19,544)
Citation 5

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

4.

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 942 (47,279)
Citation 2

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5.

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 709 (69,377)
Citation 4

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

6.

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 557 (94,033)
Citation 6

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

7.

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

Journal of Risk and Insurance, Vol. 83, 2016, pp. 579-612
Number of pages: 44 Posted: 03 Sep 2012 Last Revised: 17 Apr 2023
University of Braunschweig - Institute of Technology, Department of Finance, University of Duisburg-Essen - Mercator School of Management and Technology University of Braunschweig
Downloads 466 (116,911)
Citation 15

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CAT Bonds, Financial Crisis, Catastrophe Events, Risk Premium

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 433 (127,448)
Citation 4

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

9.

Informational Synergies in Consumer Credit

Journal of Financial Intermediation, Vol. 44, 2020, Article 100831
Number of pages: 48 Posted: 12 Dec 2014 Last Revised: 17 Apr 2023
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 414 (134,205)
Citation 3

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

10.

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 366 (154,223)

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

11.

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 339 (167,506)
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

12.

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 317 (179,925)
Citation 1

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

13.

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 300 (190,764)

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

14.

Insured Loss Inflation: How Natural Catastrophes Affect Reconstruction Costs

Journal of Risk and Insurance, Vol. 84, 2017, pp. 851-879
Number of pages: 41 Posted: 23 Feb 2013 Last Revised: 17 Apr 2023
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 213 (267,333)
Citation 2

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Demand Surge, Natural Catastrophes, Reconstruction, Insured Losses

15.

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 198 (285,855)

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Basel II, Coherent Risk Capital, Regulatory Capital, Separation

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 195 (289,720)
Citation 5

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promotion, signaling, discrimination, positive discrimination policy

17.

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 179 (312,768)

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

18.

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 148 (367,575)
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

19.

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 146 (371,685)
Citation 1

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

20.

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 146 (371,685)
Citation 1

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Tournament, promotion, learning, experiment

21.

Clustering Meets Machine Learning: Increasing the Accuracy of Advanced Tree-Based Methods in LGD Estimation

Number of pages: 28 Posted: 30 Jun 2022
Marc Gürtler and Marvin Zöllner
University of Braunschweig - Institute of Technology, Department of Finance and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 114 (449,198)

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Data Science, Risk Management, Forecasting, Machine Learning, Global Credit Data

22.

Tuning White Box Model With Black Box Models: Transparency in Credit Risk Modeling

Number of pages: 48 Posted: 01 May 2023
Marc Gürtler and Marvin Zöllner
University of Braunschweig - Institute of Technology, Department of Finance and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 112 (455,247)

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Risk Management, Forecasting, Interpretability, Machine Learning, Global Credit Data

23.

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 111 (458,293)
Citation 7

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Tournament, promotion, competitive labor market, heterogeneity, learning

24.

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 111 (458,293)
Citation 1

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

25.

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 110 (461,378)
Citation 3

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

26.

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 103 (483,606)

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inequality aversion, externalities, direct effects, indirect effects

27.

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 102 (486,817)
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)

28.

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 100 (493,428)

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

29.

Machine Learning-Based Variable Selection for Clustered Credit Risk Modeling

Number of pages: 32 Posted: 19 Jul 2023
Marvin Zöllner and Marc Gürtler
University of Braunschweig - Institute of Technology, Department of Finance and University of Braunschweig - Institute of Technology, Department of Finance
Downloads 99 (496,723)

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Credit Risk, Forecasting, Clustering, Machine Learning, Global Credit Data

30.

The Superiority of Ar(1) Models in Predicting Cat Bond Premiums

Number of pages: 15 Posted: 09 Sep 2023
Marc Gürtler and Eileen Witowski
University of Braunschweig - Institute of Technology, Department of Finance and Technische Universität Braunschweig - Institute of Finance
Downloads 31 (859,481)

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Autoregression, forecasting, Linear regression, CAT Bond Secondary Market

31.

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

32.

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