Dirk Tasche : Citation Profile


Are you Dirk Tasche?

Government of Switzerland

11

H index

13

i10 index

1066

Citations

RESEARCH PRODUCTION:

7

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (2001 - 2020). See details.
   Cites by year: 56
   Journals where Dirk Tasche has often published
   Relations with other researchers
   Recent citing documents: 116.    Total self citations: 18 (1.66 %)

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   Permalink: http://citec.repec.org/pta409
   Updated: 2022-10-01    RAS profile: 2021-03-29    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Dirk Tasche.

Is cited by:

Csóka, Péter (20)

Kondor, Imre (11)

Gordy, Michael (10)

Acerbi, Carlo (10)

Lok, Yen (9)

Herings, P. Jean-Jacques (9)

Melenberg, Bertrand (9)

Mora-Valencia, Andrés (9)

Kóczy, László (9)

Dacorogna, Michel (8)

Perote, Javier (7)

Cites to:

gourieroux, christian (20)

Scaillet, Olivier (20)

Acerbi, Carlo (19)

Engelmann, Bernd (5)

Gordy, Michael (5)

Artzner, Philippe (4)

Kiefer, Nicholas (3)

Shapiro, Alexander (3)

Newson, Roger (3)

Vanduffel, Steven (2)

Dacorogna, Michel (2)

Main data


Where Dirk Tasche has published?


Journals with more than one article published# docs
Journal of Banking & Finance2
JRFM2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org22

Recent works citing Dirk Tasche (2022 and 2021)


YearTitle of citing document
2021Robustness in the Optimization of Risk Measures. (2019). Wang, Ruodu ; Schied, Alexander ; Embrechts, Paul. In: Papers. RePEc:arx:papers:1809.09268.

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2021A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374.

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2021Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. (2020). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.04675.

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2022Avoiding zero probability events when computing Value at Risk contributions: a Malliavin calculus approach. (2020). Targino, Rodrigo ; Saporito, Yuri F. In: Papers. RePEc:arx:papers:2004.13235.

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2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2021Non-Extensive Value-at-Risk Estimation During Times of Crisis. (2020). Tehrani, Reza ; Asadi, Nazanin ; Namaki, Ali ; Hajihasani, Ahmad. In: Papers. RePEc:arx:papers:2005.09036.

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2021Adjusted Expected Shortfall. (2020). Munari, Cosimo ; Burzoni, Matteo ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2007.08829.

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2022Portfolio Optimisation within a Wasserstein Ball. (2020). Jaimungal, Sebastian ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2012.04500.

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2022Parametric measures of variability induced by risk measures. (2020). Fadina, Tolulope ; Bellini, Fabio ; Wei, Yunran ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2012.05219.

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2021Assessment of a failure prediction model in the energy sector: a multicriteria discrimination approach with Promethee based classification. (2021). Angilella, Silvia ; Pappalardo, Maria Rosaria. In: Papers. RePEc:arx:papers:2102.07656.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021Optimizing Expected Shortfall under an $\ell_1$ constraint -- an analytic approach. (2021). Caccioli, Fabio ; Kondor, Imre ; Papp, G'Abor. In: Papers. RePEc:arx:papers:2103.04375.

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2021Modelling uncertainty in financial tail risk: a forecasting combination and weighted quantile approach. (2021). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2104.04918.

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2022Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. (2021). Fissler, Tobias ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2104.10673.

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2021Aspects of a phase transition in high-dimensional random geometry. (2021). Pruser, Axel ; Engel, Andreas ; Kondor, Imre. In: Papers. RePEc:arx:papers:2105.04395.

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2021A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

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2021Modeling Portfolios with Leptokurtic and Dependent Risk Factors. (2021). Zoia, Maria Grazia ; Vacca, Gianmarco ; Quatto, Piero. In: Papers. RePEc:arx:papers:2106.04218.

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2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518.

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2022Risk contributions of lambda quantiles. (2021). Pesenti, Silvana ; Peri, Ilaria ; Ince, Akif. In: Papers. RePEc:arx:papers:2106.14824.

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2022Reverse Sensitivity Analysis for Risk Modelling. (2021). Pesenti, Silvana M. In: Papers. RePEc:arx:papers:2107.01065.

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2021Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation. (2021). Weber, Stefan ; Wilhelmy, Lutz ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2107.10635.

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2021Predicting Credit Default Probabilities Using Bayesian Statistics and Monte Carlo Simulations. (2021). Joseph, Dominic. In: Papers. RePEc:arx:papers:2108.03389.

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2021Community detection and portfolio optimization. (2021). Wang, Gang-Jin ; Zhao, Longfeng ; Chen, Lin ; Stanley, Eugene H. In: Papers. RePEc:arx:papers:2112.13383.

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2022Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2022Forecasting the distribution of long-horizon returns with time-varying volatility. (2022). Ho, Hwai-Chung. In: Papers. RePEc:arx:papers:2201.07457.

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2022Tail Risk of Electricity Futures. (2022). Mayoral, Silvia ; Rodriguez, Rosa ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.01732.

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2022A discussion of stochastic dominance and mean-CVaR optimal portfolio problems based on mean-variance-mixture models. (2022). Sayit, Hasanjan. In: Papers. RePEc:arx:papers:2202.02488.

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2022Derivatives Risks as Costs in a One-Period Network Model. (2022). Bastide, Dorinel ; Tadese, Mekonnen ; Drapeau, Samuel ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2202.03248.

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2022Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721.

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2022On a Stochastic Model of Diversification. (2022). Tselishchev, Mikhail ; Logvaneva, Maria. In: Papers. RePEc:arx:papers:2204.01284.

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2022Second-order accuracy metrics for scoring models and their practical use. (2022). Pomazanov, M V. In: Papers. RePEc:arx:papers:2204.07989.

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2022Calibrating distribution models from PELVE. (2022). Wang, Ruodu ; Lin, Liyuan ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2204.08882.

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2022Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2022Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. (2022). 'Alvaro Cartea, ; Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2206.14666.

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2022Persuading Risk-Conscious Agents: A Geometric Approach. (2022). Lingenbrink, David ; Iyer, Krishnamurthy ; Anunrojwong, Jerry. In: Papers. RePEc:arx:papers:2208.03758.

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2022Vine Copula based portfolio level conditional risk measure forecasting. (2022). Czado, Claudia ; Bax, Karoline ; Sommer, Emanuel. In: Papers. RePEc:arx:papers:2208.09156.

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2021Model risk in credit risk. (2021). luciano, elisa ; Semeraro, Patrizia ; Fontana, Roberto. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:176-202.

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2021Intra?Horizon expected shortfall and risk structure in models with jumps. (2021). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:772-823.

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2021Bayes risk, elicitability, and the Expected Shortfall. (2021). Wang, Qiuqi ; Mao, Tiantian ; Embrechts, Paul. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1190-1217.

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2021On the elicitability of range value at risk. (2021). Johanna, Ziegel ; Tobias, Fissler. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:38:y:2021:i:1-2:p:25-46:n:3.

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2021Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution. (2021). Soleymani, Fazlollah ; Ahmed, Dilan ; Hasan, Hataw ; Ullah, Malik Zaka. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:402:y:2021:i:c:s0096300321001776.

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2021The time-varying risk of Italian GDP. (2021). Pacella, Claudia ; Busetti, Fabio ; delle Monache, Davide ; Caivano, Michele. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001115.

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2022Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x.

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2021A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors. (2021). Zoia, Maria Grazia ; Vacca, Gianmarco ; Quatto, Piero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001443.

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2022Gradient boosting in Markov-switching generalized additive models for location, scale, and shape. (2022). Kneib, Thomas ; Mayr, Andreas ; Adam, Timo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:22:y:2022:i:c:p:3-16.

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2022Replenishment decisions for complementary components with supply capacity uncertainty under the CVaR criterion. (2022). Ou, Jinwen ; Li, Yanhai. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:3:p:904-916.

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2022Dynamic large financial networks via conditional expected shortfalls. (2022). Caporin, Massimiliano ; Maillet, Bertrand B ; Bonaccolto, Giovanni. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:322-336.

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2022Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation. (2022). Haight, Robert G ; Buyuktahtakin, Esra ; Bushaj, Sabah. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:3:p:1094-1110.

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2022Multi-market portfolio optimization with conditional value at risk. (2022). Brotcorne, Luce ; Labbe, Martine ; Nasini, Stefano. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:1:p:350-365.

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2021Predicting stock returns: A risk measurement perspective. (2021). Wen, Fenghua ; Kang, Jie ; Dai, Zhifeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000193.

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2022Managing downside risk of low-risk anomaly portfolios. (2022). Kim, Saejoon. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003883.

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2022Optimized portfolio using a forward-looking expected tail loss. (2022). Sanford, Anthony. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004104.

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2021Modality for scenario analysis and maximum likelihood allocation. (2021). Hofert, Marius ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:24-43.

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2021Diversification potential in real estate portfolios. (2021). Hasse, Jean-Baptiste ; Fuerst, Franz ; Candelon, Bertrand. In: International Economics. RePEc:eee:inteco:v:166:y:2021:i:c:p:126-139.

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2022Nonparametric expected shortfall forecasting incorporating weighted quantiles. (2022). Wang, Chao ; Storti, Giuseppe. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:224-239.

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2021Modelin-g credit risk with a Tobit model of days past due. (2021). Volk, Matjaž ; Masten, Igor ; Brezigar-Masten, Arjana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302466.

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2021Systematic credit risk in securitised mortgage portfolios. (2021). Scheule, Harald ; Rosch, Daniel ; Lee, Yongwoong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302582.

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2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

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2021Economic capital and RAROC in a dynamic model. (2021). Zanjani, George ; Bauer, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000297.

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2021Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002077.

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2022Adjusted Expected Shortfall. (2022). Wang, Ruodu ; Munari, Cosimo ; Burzoni, Matteo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002491.

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2022Sensitivity-implied tail-correlation matrices. (2022). Schlutter, Sebastian ; Paulusch, Joachim. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002843.

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2021The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data. (2021). Bouzebda, Salim ; Mohammedi, Mustapha ; Laksaci, Ali. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:181:y:2021:i:c:s0047259x20302542.

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2021Semi-parametric estimation of multivariate extreme expectiles. (2021). Mailhot, Melina ; di Bernardino, Elena ; Beck, Nicholas. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:184:y:2021:i:c:s0047259x21000361.

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2022Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-t distribution. (2022). Lachos, Victor H ; Castro, Luis M ; Matos, Larissa A ; Galarza, Christian E. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21002062.

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2021Short-term physician rescheduling model with feature-driven demand for mental disorders outpatients. (2021). Xu, Liang ; Zhang, Hui ; Wang, Fan. In: Omega. RePEc:eee:jomega:v:105:y:2021:i:c:s0305048321001286.

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2022A risk measure of the stock market that is based on multifractality. (2022). Chen, Liqing ; Zhang, Zilu ; Sun, QI ; Wang, YI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001960.

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2021Estimating the market risk of clean energy technologies companies using the expected shortfall approach. (2021). Pradhan, Ashis ; Tiwari, Aviral Kumar. In: Renewable Energy. RePEc:eee:renene:v:177:y:2021:i:c:p:95-100.

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2021Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

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2022Semi-nonparametric risk assessment with cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001884.

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2021Almost sure invariance principle for the Kantorovich distance between the empirical and the marginal distributions of strong mixing sequences. (2021). Merlevede, Florence ; Dedecker, Jerome. In: Statistics & Probability Letters. RePEc:eee:stapro:v:171:y:2021:i:c:s0167715220302947.

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2021Optimizing expected shortfall under an ?1 constraint—an analytic approach. (2021). Kondor, Imre ; Papp, Gabor ; Caccioli, Fabio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111051.

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2022Contagion effects on financial markets risk. (2022). Dima, Bogdan ; Ioncui, Anca. In: Journal of Financial Studies. RePEc:fst:rfsisf:v:12:y:2022:i:7:p:105-133.

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2021Economic Analysis and Generic Algorithm for Optimizing the Investments Decision-Making Process in Oil Field Development. (2021). Popescu, Catalin ; Gheorghiu, Sorin Alexandru. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6119-:d:643331.

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2022Risk Contagion between Global Commodities from the Perspective of Volatility Spillover. (2022). Ng, Pin ; Zhao, Lili ; Pan, QI ; Shen, Hong. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:7:p:2492-:d:781639.

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2021Return Based Risk Measures for Non-Normally Distributed Returns: An Alternative Modelling Approach. (2021). Murahwa, Yvonne T ; Samunderu, Eyden. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:540-:d:676017.

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2021Analysis and Forecasting of Risk in Count Processes. (2021). Homburg, Annika ; Gob, Rainer ; Alwan, Layth C ; Frahm, Gabriel ; Weiss, Christian H. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:182-:d:537533.

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2021Systemic Risk Modeling with Lévy Copulas. (2021). Kim, Youngshin ; Djuri, Petar M ; Liu, Yuhao ; Glimm, James ; Rachev, Svetlozar T. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:251-:d:569413.

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2022Best-Arm Identification Using Extreme Value Theory Estimates of the CVaR. (2022). Yu, Jiayuan ; Godin, Frederic ; Troop, Dylan. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:172-:d:789276.

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2021.

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2021.

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2022Reverse Sensitivity Analysis for Risk Modelling. (2022). Pesenti, Silvana M. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:7:p:141-:d:865315.

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2022Equivalent Risk Indicators: VaR, TCE, and Beyond. (2022). Ostaszewski, Krzysztof ; le Courtois, Olivier ; Faroni, Silvia. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:8:p:142-:d:868713.

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2021Dynamic Large Financial Networks via Conditional Expected Shortfalls. (2021). Caporin, Massimiliano ; Maillet, Bertrand ; Bonaccolto, Giovanni. In: Post-Print. RePEc:hal:journl:hal-03287947.

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2022Derivatives Risks as Costs in a One-Period Network Model. (2022). Tadese, Mekonnen ; Drapeau, Samuel ; Crepey, Stephane ; Bastide, Dorinel. In: Working Papers. RePEc:hal:wpaper:hal-03554577.

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2022Market Risk and Volatility Weighted Historical Simulation After Basel III. (2022). Firouzi, Hassan Omidi ; Laurent, Jean-Paul. In: Working Papers. RePEc:hal:wpaper:hal-03679434.

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2022Do Dutch SMEs Manage Financial Risk Rationally? Implications from an Empirical Study. (2022). R. P. M. ) van den Boom, . In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:14:y:2022:i:7:p:44.

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2021The New Standardised Approach as a Credible Fallback. (2021). Rossignolo, Adrian F. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:tnea:a:1.

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2021An Axiomatic Foundation for the Expected Shortfall. (2021). Zitikis, Riardas ; Wang, Ruodu. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1413-1429.

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2021Is Being “Robust” Beneficial? A Perspective from the Indian Market. (2021). Chakrabarty, Siddhartha P ; Oberoi, Shashank ; Girach, Mohammed Bilal. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:4:d:10.1007_s10690-021-09331-x.

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2022Deviation-Based Model Risk Measures. (2022). Righi, Marcelo Brutti ; Lakhnati, Ghizlane ; Muller, Fernanda Maria ; Berkhouch, Mohammed. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10093-x.

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2021Dynamic copula-based expectile portfolios. (2021). Sahamkhadam, Maziar. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:3:d:10.1057_s41260-021-00210-8.

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2021Minimum Rényi entropy portfolios. (2021). Vrins, Frederic ; Lassance, Nathan. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03364-2.

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2021Capital allocation and RORAC optimization under solvency 2 standard formula. (2021). Granito, Ivan ; Angelis, Paolo ; Baione, Fabio. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03543-6.

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2022Portfolio optimization with optimal expected utility risk measures. (2022). Seifried, F T ; Herbinger, J ; Graf, H ; Geissel, S. In: Annals of Operations Research. RePEc:spr:annopr:v:309:y:2022:i:1:d:10.1007_s10479-021-04403-7.

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2022On the use of the terminal-value approach in risk-value models. (2022). Dorfleitner, Gregor. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03644-2.

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2022Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion. (2022). Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03858-4.

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2021Quantile– based portfolios: post– model– selection estimation with alternative specifications. (2021). Bonaccolto, Giovanni. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:3:d:10.1007_s10287-021-00396-7.

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2022Monetary risk measures for stochastic processes via Orlicz duality. (2022). Rossello, Damiano ; Kountzakis, Christos E. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-021-00334-x.

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2022A Natural Disasters Index. (2022). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini. In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:24:y:2022:i:2:d:10.1007_s10018-021-00321-x.

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2021COVID-19: stress-testing non-financial companies: a macroprudential perspective. The experience of Poland. (2021). nehrebecka, natalia. In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:2:d:10.1007_s40822-020-00163-0.

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More than 100 citations found, this list is not complete...

Works by Dirk Tasche:


YearTitleTypeCited
2008Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle In: Papers.
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2007Incorporating exchange rate risk into PDs and asset correlations In: Papers.
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paper4
2010Estimating discriminatory power and PD curves when the number of defaults is small In: Papers.
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paper3
2012Capital allocation for credit portfolios under normal and stressed market conditions In: Papers.
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paper1
2013Bayesian estimation of probabilities of default for low default portfolios In: Papers.
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paper5
2012Bounds for rating override rates In: Papers.
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2013The art of probability-of-default curve calibration In: Papers.
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paper5
2015What is the best risk measure in practice? A comparison of standard measures In: Papers.
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paper89
2015Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds In: Papers.
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paper0
2020Proving prediction prudence In: Papers.
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paper0
2002Calculating Value-at-Risk contributions in CreditRisk+ In: Papers.
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paper2
2002A shortcut to sign Incremental Value-at-Risk for risk allocation In: Papers.
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paper1
2002Remarks on the monotonicity of default probabilities In: Papers.
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paper2
2002Credit Risk Contributions to Value-at-Risk and Expected Shortfall In: Papers.
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paper5
2005Calculating credit risk capital charges with the one-factor model In: Papers.
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paper26
2003A traffic lights approach to PD validation In: Papers.
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paper9
2004Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk In: Papers.
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paper1
2004The single risk factor approach to capital charges in case of correlated loss given default rates In: Papers.
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paper18
2005Estimating Probabilities of Default for Low Default Portfolios In: Papers.
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paper10
2006Estimating Probabilities of Default for Low Default Portfolios.(2006) In: Springer Books.
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chapter
2001Conditional Expectation as Quantile Derivative In: Papers.
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paper15
2006Measuring sectoral diversification in an asymptotic multi-factor framework In: Papers.
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paper22
2006Validation of internal rating systems and PD estimates In: Papers.
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paper12
2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk In: Economic Notes.
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article156
2015THE NUMERICS OF PREMIUM BONDS In: Journal of Gambling Business and Economics.
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2002On the coherence of expected shortfall In: Journal of Banking & Finance.
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article470
2002Expected shortfall and beyond In: Journal of Banking & Finance.
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article107
2014Exact Fit of Simple Finite Mixture Models In: JRFM.
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article0
2015The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions In: JRFM.
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article0
2009Capital allocation for credit portfolios with kernel estimators In: Quantitative Finance.
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article10
2003Measuring the Discriminative Power of Rating Systems In: Discussion Paper Series 2: Banking and Financial Studies.
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