Dirk Tasche : Citation Profile

Are you Dirk Tasche?

Government of Switzerland

10

H index

11

i10 index

694

Citations

RESEARCH PRODUCTION:

7

Articles

22

Papers

RESEARCH ACTIVITY:

   14 years (2001 - 2015). See details.
   Cites by year: 49
   Journals where Dirk Tasche has often published
   Relations with other researchers
   Recent citing documents: 108.    Total self citations: 15 (2.12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta409
   Updated: 2019-04-20    RAS profile: 2018-05-13    
   Missing citations? Add them    Incorrect content? Let us know

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 (17)

Kondor, Imre (12)

Gordy, Michael (10)

Kóczy, László (9)

Lok, Yen (9)

Melenberg, Bertrand (9)

Acerbi, Carlo (9)

Herings, P. Jean-Jacques (9)

Dacorogna, Michel (7)

Tente, Natalia (6)

Xu, Mingxin (6)

Cites to:

gourieroux, christian (20)

Scaillet, Olivier (20)

Acerbi, Carlo (18)

Gordy, Michael (5)

Newson, Roger (4)

Artzner, Philippe (4)

Kiefer, Nicholas (3)

Hallerbach, Winfried (2)

Schuermann, Til (2)

Vanduffel, Steven (2)

Dacorogna, Michel (2)

Main data

Where Dirk Tasche has published?

Journals with more than one article published# docs
Journal of Risk and Financial Management2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org21

Recent works citing Dirk Tasche (2018 and 2017)

YearTitle of citing document
2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

Full description at Econpapers || Download paper

2017NOTE ON SIMPLE AND LOGARITHMIC RETURN. (2017). Panna, Miskolczi. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265595.

Full description at Econpapers || Download paper

2017A CDS Option Miscellany. (2017). Martin, Richard J. In: Papers. RePEc:arx:papers:1201.0111.

Full description at Econpapers || Download paper

2017Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables. (2017). Wallace, Stein ; Fairbrother, Jamie ; Turner, Amanda . In: Papers. RePEc:arx:papers:1511.04935.

Full description at Econpapers || Download paper

2018A composition between risk and deviation measures. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1511.06943.

Full description at Econpapers || Download paper

2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

Full description at Econpapers || Download paper

2019Estimation of Risk Contributions with MCMC. (2019). Koike, Takaaki ; Minami, Mihoko . In: Papers. RePEc:arx:papers:1702.03098.

Full description at Econpapers || Download paper

2017The case of Less is more: Modelling risk-preference with Expected Downside Risk. (2017). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1704.05332.

Full description at Econpapers || Download paper

2018A robust approach for minimization of risk measurement errors. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

Full description at Econpapers || Download paper

2017Value-at-Risk and Expected Shortfall for the major digital currencies. (2017). Stavroyiannis, Stavros. In: Papers. RePEc:arx:papers:1708.09343.

Full description at Econpapers || Download paper

2018Optimizing S-shaped utility and implications for risk management. (2018). Armstrong, John ; Brigo, Damiano. In: Papers. RePEc:arx:papers:1711.00443.

Full description at Econpapers || Download paper

2017Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1711.07335.

Full description at Econpapers || Download paper

2017Stock market as temporal network. (2017). Wang, Gang-Jin ; Zhao, Longfeng ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi. In: Papers. RePEc:arx:papers:1712.04863.

Full description at Econpapers || Download paper

2018Regression Based Expected Shortfall Backtesting. (2018). Bayer, Sebastian ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1801.04112.

Full description at Econpapers || Download paper

2018A Dynamic Model of Central Counterparty Risk. (2018). Bielecki, Tomasz R ; Feng, Shibi ; Cialenco, Igor. In: Papers. RePEc:arx:papers:1803.02012.

Full description at Econpapers || Download paper

2018Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions. (2018). Haskell, William B ; Xu, Huifu ; Huang, Wenjie. In: Papers. RePEc:arx:papers:1805.06632.

Full description at Econpapers || Download paper

2019A theory for combinations of risk measures. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

Full description at Econpapers || Download paper

2018Robustness in the Optimization of Risk Measures. (2018). Embrechts, Paul ; Wang, Ruodu ; Schied, Alexander. In: Papers. RePEc:arx:papers:1809.09268.

Full description at Econpapers || Download paper

2019Statistical arbitrage of coherent risk measures. (2019). Brigo, Damiano ; Armstrong, John. In: Papers. RePEc:arx:papers:1902.10015.

Full description at Econpapers || Download paper

2019Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source. (2019). Dacorogna, Michel ; Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:1903.03969.

Full description at Econpapers || Download paper

2017Probability-of-default curve calibration and validation of internal rating systems. (2017). Nehrebecka, Natalia. In: IFC Bulletins chapters. RePEc:bis:bisifc:43-35.

Full description at Econpapers || Download paper

2017Statistical Inference for Expectile-based Risk Measures. (2017). Kratschmer, Volker ; Zahle, Henryk. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:2:p:425-454.

Full description at Econpapers || Download paper

2018Optimal expected utility risk measures. (2018). Sebastian, Geissel ; Thomas, Seifried Frank ; Jorn, Sass. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:73-87:n:5.

Full description at Econpapers || Download paper

2017La correlazione tra PD ed LGD nell’analisi del rischio di credito/The correlation between probability of default and loss given default in the credit risk analysis. (2017). Varetto, Franco. In: IRCrES Working Paper. RePEc:csc:ircrwp:201714.

Full description at Econpapers || Download paper

2017RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES. (2017). Boonen, Tim J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:47:y:2017:i:01:p:303-329_00.

Full description at Econpapers || Download paper

2017Diversification benefits under multivariate second order regular variation. (2017). Das, Bikramjit ; Kratz, Marie. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17006.

Full description at Econpapers || Download paper

2018Index tracking model, downside risk and non-parametric kernel estimation. (2018). Huang, Jinbo ; Yao, Haixiang ; Li, Yong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:103-128.

Full description at Econpapers || Download paper

2017Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation. (2017). Li, Leon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:116-135.

Full description at Econpapers || Download paper

2019Mark to market value at risk. (2019). Chen, YU ; Zhang, Zhengjun ; Wang, Zhicheng. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:299-321.

Full description at Econpapers || Download paper

2018Approximating expected shortfall for heavy-tailed distributions. (2018). Broda, Simon A ; Paolella, Marc S ; Krause, Jochen . In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:184-203.

Full description at Econpapers || Download paper

2017Consistent modeling of risk averse behavior with spectral risk measures: Wächter/Mazzoni revisited. (2017). Brandtner, Mario ; Kursten, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:1:p:394-399.

Full description at Econpapers || Download paper

2017Properties and comparison of risk capital allocation methods. (2017). Csóka, Péter ; Balog, Dóra ; Bátyi, Tamás ; Pinter, Miklos ; Csoka, Peter ; Batyi, Tamas Laszlo . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:614-625.

Full description at Econpapers || Download paper

2017Integrated operational and financial hedging with capacity reshoring. (2017). Zhao, Lima ; Huchzermeier, Arnd. In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:2:p:557-570.

Full description at Econpapers || Download paper

2017Decision rule approximations for the risk averse reservoir management problem. (2017). Gauvin, Charles ; Gendreau, Michel ; Delage, Erick . In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:1:p:317-336.

Full description at Econpapers || Download paper

2017Comonotonic approximation to periodic investment problems under stochastic drift. (2017). Xu, Liang ; Liu, Qinjun ; Kou, Gang ; Gao, Chunyan . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:251-261.

Full description at Econpapers || Download paper

2017Robust and Pareto optimality of insurance contracts. (2017). Asimit, Alexandru V ; Kim, Eun-Seok ; Hu, Junlei ; Chun, KA ; Bignozzi, Valeria. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:720-732.

Full description at Econpapers || Download paper

2018Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity. (2018). Brandtner, Mario ; Rischau, Robert ; Kursten, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:2:p:707-716.

Full description at Econpapers || Download paper

2018Insurance with multiple insurers: A game-theoretic approach. (2018). Asimit, Vali ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:778-790.

Full description at Econpapers || Download paper

2018Expected shortfall: Heuristics and certificates. (2018). Ramponi, Federico Alessandro ; Campi, Marco C. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:3:p:1003-1013.

Full description at Econpapers || Download paper

2018Risk management of time varying floors for dynamic portfolio insurance. (2018). Prigent, Jean-Luc ; Prigent, J.-L., ; ben Ameur, H. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:363-381.

Full description at Econpapers || Download paper

2018Multivariate dependence analysis via tree copula models: An application to one-year forward energy contracts. (2018). Bassetti, Federico ; Tarantola, Claudia ; Nicolino, Enrica ; De Giuli, Maria Elena ; DeGiuli, Maria Elena . In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1107-1121.

Full description at Econpapers || Download paper

2019Deep learning models for bankruptcy prediction using textual disclosures. (2019). Mai, Feng ; Lee, Chihoon ; Tian, Shaonan. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:743-758.

Full description at Econpapers || Download paper

2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

Full description at Econpapers || Download paper

2018On the cyclicality of default rates of banks: A comparative study of the asset correlation and diversification effects. (2018). Blumke, Oliver. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:65-77.

Full description at Econpapers || Download paper

2018lCARE - localizing conditional autoregressive expectiles. (2018). Xu, Xiu ; Hardle, Wolfgang Karl ; Mihoci, Andrija . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:198-220.

Full description at Econpapers || Download paper

2017Is hedging the crack spread no longer all its cracked up to be?. (2017). Vedenov, Dmitry ; Liu, Pan ; Power, Gabriel J. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:31-40.

Full description at Econpapers || Download paper

2018A comparison of risk measures for accidents in the energy sector and their implications on decision-making strategies. (2018). Spada, Matteo ; Burgherr, Peter ; Paraschiv, Florentina. In: Energy. RePEc:eee:energy:v:154:y:2018:i:c:p:277-288.

Full description at Econpapers || Download paper

2017Convex risk measures based on generalized lower deviation and their applications. (2017). Fu, Tianwen ; Liu, Jia ; Hui, Yongchang ; Zhuang, Xinkai . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:27-37.

Full description at Econpapers || Download paper

2017Dynamic robust portfolio selection with copulas. (2017). Han, Yingwei ; Xia, Yong ; Li, Ping. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:190-200.

Full description at Econpapers || Download paper

2017Fair risk allocation in illiquid markets. (2017). Csóka, Péter ; Csoka, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:228-234.

Full description at Econpapers || Download paper

2018A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo Brutti ; Borenstein, Denis. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112.

Full description at Econpapers || Download paper

2017The currency composition of firms balance sheets, asset value correlations, and capital requirements. (2017). Byström, Hans ; Bystrom, Hans. In: Global Finance Journal. RePEc:eee:glofin:v:34:y:2017:i:c:p:89-99.

Full description at Econpapers || Download paper

2017Optimal insurance design in the presence of exclusion clauses. (2017). Chi, Yichun ; Liu, Fangda . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:185-195.

Full description at Econpapers || Download paper

2018Distortion measures and homogeneous financial derivatives. (2018). Major, John A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:82-91.

Full description at Econpapers || Download paper

2018Copula approaches for modeling cross-sectional dependence of data breach losses. (2018). Eling, Martin ; Jung, Kwangmin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:167-180.

Full description at Econpapers || Download paper

2018Using expected shortfall for credit risk regulation. (2018). Osmundsen, Kjartan Kloster . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:80-93.

Full description at Econpapers || Download paper

2017Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. (2017). Furman, Edward ; Zitikis, Riardas ; Wang, Ruodu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:70-84.

Full description at Econpapers || Download paper

2018Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall. (2018). Lok, Yen ; McNeil, Alexander J ; Kratz, Marie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:393-407.

Full description at Econpapers || Download paper

2018Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity. (2018). Brandtner, Mario. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:138-149.

Full description at Econpapers || Download paper

2018Unbiased estimation of risk. (2018). Pitera, Marcin ; Schmidt, Thorsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:133-145.

Full description at Econpapers || Download paper

2018Value at risk and expected shortfall based on Gram-Charlier-like expansions. (2018). Zoia, Maria ; Nicolussi, Federica ; Biffi, Paola . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:92-104.

Full description at Econpapers || Download paper

2017Multivariate elliptical truncated moments. (2017). Broda, Simon ; Arismendi, Juan C. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:29-44.

Full description at Econpapers || Download paper

2019A two-stage stochastic programming approach for identifying optimal postponement strategies in supply chains with uncertain demand. (2019). Weskamp, Christoph ; Voss, Stefan ; Suhl, Leena ; Schwartz, Frank ; Koberstein, Achim. In: Omega. RePEc:eee:jomega:v:83:y:2019:i:c:p:123-138.

Full description at Econpapers || Download paper

2017Risk measurement of a guaranteed annuity option under a stochastic modelling framework. (2017). GAO, Huan ; Liu, Xiaoming ; Mamon, Rogemar. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:132:y:2017:i:c:p:100-119.

Full description at Econpapers || Download paper

2017Entropy measure of credit risk in highly correlated markets. (2017). Gottschalk, Sylvia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:478:y:2017:i:c:p:11-19.

Full description at Econpapers || Download paper

2018Stock market as temporal network. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi ; Zhao, Longfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1104-1112.

Full description at Econpapers || Download paper

2018Measuring bank downside systemic risk in Taiwan. (2018). Su, Ender ; Wong, Kai Wen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:172-193.

Full description at Econpapers || Download paper

2017Hot money and cross-section of stock returns during the global financial crisis. (2017). Kim, Daehwan ; Iwasawa, Seiichiro . In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:8-22.

Full description at Econpapers || Download paper

2017A link-based mean-excess traffic equilibrium model under uncertainty. (2017). Chen, Anthony ; Yang, Chao ; Cheng, Lin ; Xu, Xiangdong. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:95:y:2017:i:c:p:53-75.

Full description at Econpapers || Download paper

2017Computation of the Corrected Cornish-Fisher Expansion using the Response Surface Methodology: Application to V aR and CV aR. (2017). Barthélémy, Fabrice ; Maillard, Didier ; Amedee-Manesme, Charles-Olivier. In: THEMA Working Papers. RePEc:ema:worpap:2017-21.

Full description at Econpapers || Download paper

2017Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors. (2017). Nesmith, Travis ; Oh, Dong Hwan ; Dobrev, Dobrislav. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2016-65.

Full description at Econpapers || Download paper

2017Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors. (2017). Nesmith, Travis ; Oh, Dong Hwan ; Dobrev, Dobrislav. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:1:p:5-:d:89239.

Full description at Econpapers || Download paper

2018Friendship of Stock Market Indices: A Cluster-Based Investigation of Stock Markets. (2018). Ormos, Mihály ; Nagy, Laszlo . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:88-:d:190227.

Full description at Econpapers || Download paper

2018Desirable Portfolios in Fixed Income Markets: Application to Credit Risk Premiums. (2018). Garrido, Jose ; Okhrati, Ramin. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:23-:d:136998.

Full description at Econpapers || Download paper

2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

Full description at Econpapers || Download paper

2018Bootstrapping Average Value at Risk of Single and Collective Risks. (2018). Beutner, Eric ; Zahle, Henryk. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:96-:d:169405.

Full description at Econpapers || Download paper

2018The Asymptotic Decision Scenarios of an Emerging Stock Exchange Market: Extreme Value Theory and Artificial Neural Network. (2018). Musah, Abdul-Aziz Ibn ; Abdul-Rasheed, Alhassan Alolo ; Ud, Hira Salah. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:132-:d:183344.

Full description at Econpapers || Download paper

2018A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Fischer, Matthias ; Pfeuffer, Marius ; Moser, Thorsten. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:142-:d:188842.

Full description at Econpapers || Download paper

2018Maslow Portfolio Selection for Individuals with Low Financial Sustainability. (2018). Wong, Wing-Keung ; Hui, Yongchang ; Li, Xinge. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:4:p:1128-:d:140258.

Full description at Econpapers || Download paper

2017Impact of multimodality of distributions on VaR and ES calculations. (2017). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01491990.

Full description at Econpapers || Download paper

2017MULTIVARIATE EXTENSIONS OF EXPECTILES RISK MEASURES. (2017). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique. In: Post-Print. RePEc:hal:journl:hal-01367277.

Full description at Econpapers || Download paper

2017Diversification benefits under multivariate second order regular variation. (2017). Das, Bikramjit ; Kratz, Marie. In: Working Papers. RePEc:hal:wpaper:hal-01520655.

Full description at Econpapers || Download paper

2018Predicting risk with risk measures : an empirical study. (2018). Dacorogna, Michel ; Kratz, Marie ; Brautigam, Marcel . In: Working Papers. RePEc:hal:wpaper:hal-01791026.

Full description at Econpapers || Download paper

2019Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

Full description at Econpapers || Download paper

2017Using Expected Shortfall for Credit Risk Regulation. (2017). Osmundsen, Kjartan Kloster . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2017_004.

Full description at Econpapers || Download paper

2018STUDYING THE REPLICABILITY OF AGGREGATE EXTERNAL CREDIT ASSESSMENTS USING PUBLIC INFORMATION. (2018). Kurbangaleev, Marat Z ; Seleznyova, Zinaida V ; Lapshin, Victor A. In: HSE Working papers. RePEc:hig:wpaper:71/fe/2018.

Full description at Econpapers || Download paper

2018Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature. (2018). Tian, Dingshi ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201807.

Full description at Econpapers || Download paper

2018A részvénytartás spektrális kockázata hosszú távon. (2018). Csóka, Péter ; Kondor, Gabor ; Bihary, Zsolt. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1782.

Full description at Econpapers || Download paper

2017Impact of multimodality of distributions on VaR and ES calculations. (2017). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17019.

Full description at Econpapers || Download paper

2019Coherent diversification measures in portfolio theory: An axiomatic foundation. (2019). Dionne, Georges ; Koumou, Gilles Boevi. In: Working Papers. RePEc:ris:crcrmw:2019_002.

Full description at Econpapers || Download paper

2017How risky is the optimal portfolio which maximizes the Sharpe ratio?. (2017). Bodnar, Taras ; Zabolotskyy, Taras . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:101:y:2017:i:1:d:10.1007_s10182-016-0270-3.

Full description at Econpapers || Download paper

2018Risk parity for Mixed Tempered Stable distributed sources of risk. (2018). Mercuri, Lorenzo ; Rroji, Edit. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2394-y.

Full description at Econpapers || Download paper

2018When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management. (2018). Barnard, Roger W ; Trindade, Alexandre A ; Pearce, Kent. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:1:d:10.1007_s10479-017-2547-7.

Full description at Econpapers || Download paper

2018Asset allocation strategies based on penalized quantile regression. (2018). Caporin, Massimiliano ; Paterlini, Sandra ; Bonaccolto, Giovanni. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:1:d:10.1007_s10287-017-0288-3.

Full description at Econpapers || Download paper

2017Approximating exact expected utility via portfolio efficient frontiers. (2017). Carleo, Alessandra ; Ricci, Jacopo Maria ; Gheno, Andrea ; Cesarone, Francesco . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:40:y:2017:i:1:d:10.1007_s10203-017-0201-0.

Full description at Econpapers || Download paper

2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		paper28
2007Incorporating exchange rate risk into PDs and asset correlations In: Papers.
[Full Text][Citation analysis]		paper4
2010Estimating discriminatory power and PD curves when the number of defaults is small In: Papers.
[Full Text][Citation analysis]		paper1
2012Capital allocation for credit portfolios under normal and stressed market conditions In: Papers.
[Full Text][Citation analysis]		paper0
2013Bayesian estimation of probabilities of default for low default portfolios In: Papers.
[Full Text][Citation analysis]		paper3
2012Bounds for rating override rates In: Papers.
[Full Text][Citation analysis]		paper0
2013The art of probability-of-default curve calibration In: Papers.
[Full Text][Citation analysis]		paper1
2015What is the best risk measure in practice? A comparison of standard measures In: Papers.
[Full Text][Citation analysis]		paper38
2015Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds In: Papers.
[Full Text][Citation analysis]		paper0
2002Calculating Value-at-Risk contributions in CreditRisk+ In: Papers.
[Full Text][Citation analysis]		paper2
2002A shortcut to sign Incremental Value-at-Risk for risk allocation In: Papers.
[Full Text][Citation analysis]		paper1
2002Remarks on the monotonicity of default probabilities In: Papers.
[Full Text][Citation analysis]		paper2
2002Credit Risk Contributions to Value-at-Risk and Expected Shortfall In: Papers.
[Full Text][Citation analysis]		paper7
2005Calculating credit risk capital charges with the one-factor model In: Papers.
[Full Text][Citation analysis]		paper21
2003A traffic lights approach to PD validation In: Papers.
[Full Text][Citation analysis]		paper5
2004Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk In: Papers.
[Full Text][Citation analysis]		paper0
2004The single risk factor approach to capital charges in case of correlated loss given default rates In: Papers.
[Full Text][Citation analysis]		paper14
2005Estimating Probabilities of Default for Low Default Portfolios In: Papers.
[Full Text][Citation analysis]		paper4
2001Conditional Expectation as Quantile Derivative In: Papers.
[Full Text][Citation analysis]		paper12
2006Measuring sectoral diversification in an asymptotic multi-factor framework In: Papers.
[Full Text][Citation analysis]		paper18
2006Validation of internal rating systems and PD estimates In: Papers.
[Full Text][Citation analysis]		paper10
2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk In: Economic Notes.
[Full Text][Citation analysis]		article90
2015THE NUMERICS OF PREMIUM BONDS In: Journal of Gambling Business and Economics.
[Full Text][Citation analysis]		article0
2002On the coherence of expected shortfall In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article324
2002Expected shortfall and beyond In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article78
2014Exact Fit of Simple Finite Mixture Models In: Journal of Risk and Financial Management.
[Full Text][Citation analysis]		article0
2015The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions In: Journal of Risk and Financial Management.
[Full Text][Citation analysis]		article0
2009Capital allocation for credit portfolios with kernel estimators In: Quantitative Finance.
[Full Text][Citation analysis]		article7
2003Measuring the Discriminative Power of Rating Systems In: Discussion Paper Series 2: Banking and Financial Studies.
[Full Text][Citation analysis]		paper24

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2019. Contact: CitEc Team