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~isPartOf:"Documents de recherche / ESSEC Centre de Recherche"
~person:"Chang, Chia-Lin"
~person:"Degiannakis, Stavros"
~person:"Kratz, Marie"
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Efficient estimation in extreme value regression models of hedge fund tail risks
Hambuckers, Julien
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Kratz, Marie
;
Usseglio-Carleve, Antoine
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2023
Persistent link: https://www.econbiz.de/10014412457
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Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data
Dacorogna, Michel M.
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Debbabi, Nehla
;
Kratz, Marie
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2022
Persistent link: https://www.econbiz.de/10013500692
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Risk measure estimates in quiet and turbulent times : an empirical study
Chotard, Rosnan
;
Dacorogna, Michel M.
;
Kratz, Marie
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2016
Persistent link: https://www.econbiz.de/10011657646
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Multinomial var backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen
;
McNeil, Alexander J.
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2016
Persistent link: https://www.econbiz.de/10011892794
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5
Explicit diversification benefit for dependent risks
Dacorogna, Michel M.
;
Elbahtouri, Laila
;
Kratz, Marie
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2015
Persistent link: https://www.econbiz.de/10011453763
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