2025
On the information content of explainable artificial intelligence for quantitative approaches in finance.
OR Spectr., March, 2025

2022
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

2021
Value-at-risk backtesting: Beyond the empirical failure rate.
Expert Syst. Appl., 2021

2017
Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios.
Eur. J. Oper. Res., 2017

2015
Value-at-Risk Forecasts Based on Decomposed Return Series: The Short Run Matters.
Proceedings of the Operations Research Proceedings 2015, 2015

2013
Misspecified Dependency Modelling: What Does It Mean for Risk Measurement?
Proceedings of the Operations Research Proceedings 2013, 2013

2012
Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas.
Proceedings of the Operations Research Proceedings 2012, 2012