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Emmer, Suzanne’ AUTHOR PAGE
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E-Mail: susanne.emmer@nagler-company.com
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Affiliation: Dr. Nagler & Company
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What is the Best Risk Measure in Practice? A Comparison of Standard Measures 2013
Emmer, Suzanne
Tasche, Dirk
Kratz, Marie
 
In this paper, we revisit commonly accepted desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability...
Calculating Credit Risk Capital Charges With the One-Factor Model 2004
Emmer, Suzanne
Tasche, Dirk
 
Even in the simple Vasicek one-factor credit portfolio model, the exact contributions to credit value-at-risk cannot be calculated without Monte-Carlo...
Optimal Portfolios with Bounded Downside Risks 2000
Emmer, Suzanne
Kluppelberg, Claudia
Korn, Ralf
 
We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the contraint of an upper...
Living on the Edge 1998
Emmer, Suzanne
Resnick, Sidney
Samorodnitsky, Gennady
 
Risk management is currently a crucial topic in the world of finance, We argue that an important analytic tool in risk management should be extreme va...
Optimal Portfolios with Bounded Capital at Risk 2000
Emmer, Suzanne
Kluppelberg, Claudia
Korn, Ralf
 
We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an uppe...
VaR - A Measure for Extreme Risk 1998
Emmer, Suzanne
Kluppelberg, Claudia
Trüstedt, M.
 
Common methods for the estimation of the Value-at-Risk (VaR) are the empirical method and the normal method. We present an alternative estimation proc...
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