On the information content of explainable artificial intelligence for quantitative approaches in finance.
OR Spectr., March, 2025
Explainable Machine Learning and Economic Panel Data.
Proceedings of the Operations Research Proceedings 2022: Selected Papers of the Annual International Conference of the German Operations Research Society (GOR), 2022
Value-at-risk backtesting: Beyond the empirical failure rate.
Expert Syst. Appl., 2021
Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios.
Eur. J. Oper. Res., 2017
Value-at-Risk Forecasts Based on Decomposed Return Series: The Short Run Matters.
Proceedings of the Operations Research Proceedings 2015, 2015
Misspecified Dependency Modelling: What Does It Mean for Risk Measurement?
Proceedings of the Operations Research Proceedings 2013, 2013
Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas.
Proceedings of the Operations Research Proceedings 2012, 2012