Susanne Emmer
Susanne Emmer is Team Head Counterparty Credit Risk Back-Testing at Credit Suisse. Before joining Credit Suisse she was a visiting professor and external lecturer at ESSEC Business School. Before that she worked as a financial engineer for UBS and as a senior consultant for Nagler & Company. Susanne holds a doctorate in financial mathematics from Technische Universität München.
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Articles by Susanne Emmer
What is the best risk measure in practice? A comparison of standard measures
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.