University of Regensburg
Ralf Kellner works as a senior research assistant at the chair of Statistics and Risk Management at the University of Regensburg (Germany). Before working in his current position, he operated as a risk manager in a German reinsurance company between 2013 and 2014 and earned his PhD (Dr. rer. pol.) in 2012 at the chair for insurance economics and risk management (Friedrich-Alexander-University of Nuremberg). His research interests lie in quantitative risk management methods, market risks, credit risks as well as empirical statistical and econometric methods and models. He has published several articles in international journals and regularly participates at international conferences.
This paper studies the impact of model risk on EVT methods when determining the value-at-risk and expected shortfall.