Michael Kalkbrener

427 total citations
15 papers, 241 citations indexed

About

Michael Kalkbrener is a scholar working on Finance, Management Science and Operations Research and Economics and Econometrics. According to data from OpenAlex, Michael Kalkbrener has authored 15 papers receiving a total of 241 indexed citations (citations by other indexed papers that have themselves been cited), including 13 papers in Finance, 6 papers in Management Science and Operations Research and 6 papers in Economics and Econometrics. Recurrent topics in Michael Kalkbrener's work include Credit Risk and Financial Regulations (10 papers), Stochastic processes and financial applications (7 papers) and Risk and Portfolio Optimization (6 papers). Michael Kalkbrener is often cited by papers focused on Credit Risk and Financial Regulations (10 papers), Stochastic processes and financial applications (7 papers) and Risk and Portfolio Optimization (6 papers). Michael Kalkbrener collaborates with scholars based in Germany. Michael Kalkbrener's co-authors include Ludger Overbeck, Gerhard Stahl and Michael Brockmann and has published in prestigious journals such as Journal of Banking & Finance, Journal of Applied Probability and Mathematical Finance.

In The Last Decade

Michael Kalkbrener

14 papers receiving 208 citations

Peers

Michael Kalkbrener

FINAN

MSOR

EE

DEMOG

ACCOU

Jörn Saß Germany

Gerhard Stahl Germany

Dominik D. Lambrigger Switzerland

Antoine Frachot France

Christian Menn Germany

Kabir Dutta United States

Matthias Degen Switzerland

Georg Mainik Switzerland

Valeri Zakamouline Norway

Kai Detlefsen United States

Jörn Saß Germany

Michael Kalkbrener

192 ×0.9

FINAN

106 ×1.1

MSOR

122 ×1.4

EE

31 ×0.9

DEMOG

13 ×0.5

ACCOU

Citations per year, relative to Michael Kalkbrener Michael Kalkbrener (= 1×) peers Jörn Saß

Countries citing papers authored by Michael Kalkbrener

Since Specialization

Citations

This map shows the geographic impact of Michael Kalkbrener's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Michael Kalkbrener with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Michael Kalkbrener more than expected).

Fields of papers citing papers by Michael Kalkbrener

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Michael Kalkbrener. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Michael Kalkbrener. The network helps show where Michael Kalkbrener may publish in the future.

Co-authorship network of co-authors of Michael Kalkbrener

This figure shows the co-authorship network connecting the top 25 collaborators of Michael Kalkbrener. A scholar is included among the top collaborators of Michael Kalkbrener based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Michael Kalkbrener. Michael Kalkbrener is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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15 of 15 papers shown

1.

Kalkbrener, Michael, et al.. (2018). Operational risk measurement beyond the loss distribution approach: an exposure-based methodology. The Journal of Operational Risk. 13(2). 1–33. 2 indexed citations

2.

Kalkbrener, Michael, et al.. (2016). Asymptotic behaviour of multivariate default probabilities and default correlations under stress. Journal of Applied Probability. 53(1). 71–81. 2 indexed citations

3.

Kalkbrener, Michael, et al.. (2015). Stress testing of credit portfolios in light- and heavy-tailed models. Journal of risk management in financial institutions. 8(1). 34–34. 2 indexed citations

4.

Kalkbrener, Michael, et al.. (2014). Default Probabilities and Default Correlations Under Stress. SSRN Electronic Journal. 1 indexed citations

5.

Kalkbrener, Michael & Ludger Overbeck. (2013). Stressed Testing in Credit Portfolio Models. SSRN Electronic Journal.

6.

Kalkbrener, Michael, et al.. (2013). CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS. Mathematical Finance. 25(2). 426–456. 5 indexed citations

7.

Brockmann, Michael & Michael Kalkbrener. (2010). On the aggregation of risk. The Journal of Risk. 12(3). 45–68. 14 indexed citations

8.

Kalkbrener, Michael. (2009). An axiomatic characterization of capital allocations of coherent risk measures. Quantitative Finance. 9(8). 961–965. 5 indexed citations

9.

Kalkbrener, Michael, et al.. (2007). Efficient calculation of expected shortfall contributions in large credit portfolios. The Journal of Computational Finance. 11(2). 1–43. 5 indexed citations

10.

Kalkbrener, Michael, et al.. (2007). Mathematics in Financial Risk Management. 2 indexed citations

11.

Kalkbrener, Michael, et al.. (2006). Credit risk concentrations under stress. The Journal of Credit Risk. 2(3). 115–136. 38 indexed citations

12.

Kalkbrener, Michael, et al.. (2006). LDA at work: Deutsche Bank's approach to quantifying operational risk. The Journal of Operational Risk. 1(4). 49–93. 57 indexed citations

13.

Kalkbrener, Michael. (2005). AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. Mathematical Finance. 15(3). 425–437. 25 indexed citations

14.

Kalkbrener, Michael, et al.. (2003). Sensible and Efficient Capital Allocation for Credit Portfolios. 47 indexed citations

15.

Kalkbrener, Michael, et al.. (2003). Risk management of non-maturing liabilities. Journal of Banking & Finance. 28(7). 1547–1568. 36 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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