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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.
;
Debbabi, Nehla
;
Kratz, Marie
- In:
European journal of operational research : EJOR
311
(
2023
)
2
,
pp. 708-729
Persistent link: https://www.econbiz.de/10014336745
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Probabilistic forecasting of bubbles and flash crashes
Banerjee, Anurag Narayan
;
Chewillon, Guillaume
;
Kratz, Marie
- In:
The econometrics journal
23
(
2020
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10012236246
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Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
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