Michael Kalkbrener

Deutsche Bank AG - Risk Management

31 West 52nd Street, 12th Floor

New York, NY 10019

SCHOLARLY PAPERS

5

DOWNLOADS

472

SSRN CITATIONS
Rank 14,693

SSRN RANKINGS

Top 14,693

in Total Papers Citations

3

CROSSREF CITATIONS

59

Scholarly Papers (5)

Correlation Under Stress in Normal Variance Mixture Models

Number of pages: 28 Posted: 26 Jan 2010 Last Revised: 12 Oct 2012
Michael Kalkbrener and Natalie Packham
Deutsche Bank AG - Risk Management and Berlin School of Economics and Law
Downloads 237 (133,527)

Abstract:

Loading...

Stress testing, risk management, correlation, normal variance mixture distribution, multivariate normal distribution, multivariate t-distribution

Correlation Under Stress in Normal Variance Mixture Models

Mathematical Finance, Vol. 25, Issue 2, pp. 426-456, 2015
Number of pages: 31 Posted: 04 Mar 2015
Michael Kalkbrener and Natalie Packham
Deutsche Bank AG - Risk Management and Berlin School of Economics and Law
Downloads 0
  • Add to Cart

Abstract:

Loading...

stress testing, risk management, correlation, normal variance mixture distribution, multivariate normal distribution, multivariate t‚Äźdistribution

2.

Stressed Testing in Credit Portfolio Models

Number of pages: 18 Posted: 25 May 2013
Michael Kalkbrener and Ludger Overbeck
Deutsche Bank AG - Risk Management and University of Giessen
Downloads 129 (228,890)
Citation 1

Abstract:

Loading...

Stress testing, credit portfolio models

3.

Default Probabilities and Default Correlations Under Stress

Number of pages: 17 Posted: 02 Apr 2014
Natalie Packham, Michael Kalkbrener and Ludger Overbeck
Berlin School of Economics and Law, Deutsche Bank AG - Risk Management and University of Giessen
Downloads 77 (323,391)

Abstract:

Loading...

financial risk management, credit portfolio modelling, stress testing, elliptic distribution, max-domain

4.

An Axiomatic Approach to Capital Allocation

Mathematical Finance, Vol. 15, No. 3, pp. 425-437, July 2005
Number of pages: 13 Posted: 15 Jun 2005
Michael Kalkbrener
Deutsche Bank AG - Risk Management
Downloads 29 (489,395)
Citation 3
  • Add to Cart

Abstract:

Loading...

5.

Operational Risk Measurement Beyond the Loss Distribution Approach: An Exposure-Based Methodology

Journal of Operational Risk, Vol. 13, No. 2, 2018
Number of pages: 34 Posted: 12 Jun 2018
Michael Einemann, Joerg Fritscher and Michael Kalkbrener
Deutsche Bank AG, Deutsche Bank AG and Deutsche Bank AG - Risk Management
Downloads 0 (691,345)
  • Add to Cart

Abstract:

Loading...

operational risk, loss distribution approach (LDA), exposure, factor model, litigation risk.