Michael Kalkbrener

Deutsche Bank AG - Risk Management

31 West 52nd Street, 12th Floor

New York, NY 10019

SCHOLARLY PAPERS

5

DOWNLOADS

489

SSRN CITATIONS
Rank 15,167

SSRN RANKINGS

Top 15,167

in Total Papers Citations

10

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 244 (139,950)

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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
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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 136 (235,860)
Citation 1

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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 80 (338,892)

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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 (523,387)
Citation 10
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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
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operational risk, loss distribution approach (LDA), exposure, factor model, litigation risk.