Marie Kratz

Education

Main Doctorate in Applied Mathematics, UPMC (Paris 6), done to a great extent at the Center
for Stochastic Processes,
UNC, Chapel Hill, USA Habilitation à Diriger des Recherches, Commission des Thèses en Mathématiques des Universités Parisiennes & Université Paris I Title:
Fellow (Actuaire Agrégée) of Institut des Actuaires
Additional Master in Actuarial Science: SAFIR-SAF, Univ. Lyon 1 (Fall 2011-2013) Global colloquium on participant-centered learning, Harvard Business School (Executive Education) (July 25- Aug.04, 2010; March14-18, 2011) Ecole d''été de Probabilités de Saint-Flour (R. Adler & A. Etheridge lectures)
(July 5-17, 2009) From classical to Modern Probability, CIMPA & CMM summer school, Universidad de la Frontera, Temuco, Chile (Jan. 2001) Summer Internships Program in Probability and Stochastic Processes, University of Wisconsin, Madison, U.S.A. (J. Kuelbs and T. Kurtz) (July 1999)

Biography

ESSEC Full Professor, from Oct. 2011

Director of CREAR -
Center of
Research in
Econo-finance and
Actuarial Science on
Risk - (see
http://crear.essec.edu), from Jan. 2013 Fellow of the "Institut des Actuaires" (IA 2013; qualification 2015; certification 2015; fellow 2016)
ESSEC Associate Professor, Oct. 2006 - Sept. 2011 Maître de Conférences at the University René Descartes Paris V (UFR Mathématiques & Informatique) until Oct. 2006 Delegation C.N.R.S.
(SAMOS-MATISSE, UMR 8595, 1999-2000)
Post-doctorat/delegation with S. Resnick (Fall sem. 1993, 94, 95), Cornell University (O.R.I.E.), Ithaca, N.Y., USA

Research Areas

Areas

My research revolves around several themes that might be classified into two domains, both related to Extreme Value Theory (EVT): (i) the study of random excursion sets with applications in various fields (ii) the analysis of extreme risk and quantitative risk management (QRM)
Keywords: Quantitative Risk Analysis;
Extreme Risks; Extreme Value Theory; Gaussian processes (non linear functionals); Stochastic Geometry; Point Processes; Time Series; Dynamical Systems

Sectors

(Applied) Probability;
Mathematical Statistics; Actuarial Mathematics; Risk Management

On-going Projects

On-going papers
presented at International Conferences:
M. Bräutigam, M. Dacorogna, M. Kratz:
Procyclicality of Empirical Measurements of Risk in Financial Markets


Projects and Research Programs
- Scientific Coordinator of the ”Risk Analysis and Modeling” direction, in the European Project RARE - Risk Analysis, Ruin and Extremes - FP7-PEOPLE-2012-IRSES - Marie Curie Actions, which aims to strengthen research partnerships through staff exchanges and networking activities between European research organizations and research organizations from other countries. (12 partners) (Oct 12 - Oct16)

- Director of the Research Program with SWISS LIFE on :
Consequences of the population ageing on the insurances loss. Impacts on the automobile prevention
(Dec 11 - Dec 14)

Teaching at ESSEC

Financial Mathematics : Probability in finance (Ms ESSEC Grande Ecole)

Gestion des risques (ISUP Univ. Paris 6 - CS3 - Actuarial track) (from 2011-12) Extreme Value Theory (ISUP Univ. Paris 6 - CS3 - Actuarial track) (from 2016-17)
Séries temporelles (ISUP Univ. Paris 6 - CS2) (2006-07 to 2010-11)
Forecasting (Ph.D. OMS)
Probability and Stochastic Processes (MS FEAsia & Ph.D)
Statistics (MS FEAsia)
Quantitative Risk Management (QRM) (Ms ESSEC Grande Ecole) QRM & Extreme values (MS FEAsia Singapore)
Research UE on QRM
Statistics in Business (Bachelor) (from 2007 to 2009) (coordinator from 2008 to 2011)

Other Teaching Activities

• CFA France Research Workshop, ''A self-Calibrating
  Method for Heavy Tailed Data Modeling'', Paris, Sep. 28, 2017 - Singapore Actuarial Society Forum on ''Overview of Copulas for Actuaries in Management'', Singapore, Feb. 23, 2017 - 1/2 day workshop on
  ''EVT and its Application to finance and insurance'', ETH Risk Center, Zurich, Switzerland, March 24, 2017 - Mini-workshop on ''Modeling and Backtesting Heavy Tailed Data'', Durham Business School, UK, Jan.16, 2017 - ''An implicit backtest for Expected Shortfall via a simple multinomial approach'', Bank of International Settlements, Basel, Switzerland, Nov.2, 2016 - ''A self-Calibrating
  Method for Heavy Tailed Data Modeling'', SwissRe, Zurich, Switzerland, Sept. 13, 2016
  - Two days executive seminar on Quantitative Risk Management, NISM (National Institute of Securities Markets), Mumbai, India, Feb.20-21, 2016 - ''An Introduction to Quantitative Risk Management'' - course given at the Summer School on Risk Management in Finance and Insurance, National Economics University, Hanoi, Vietnam, July 29 - August 2, 2013