Dirk Tasche : Citation Profile


Are you Dirk Tasche?

Government of Switzerland

10

H index

11

i10 index

720

Citations

RESEARCH PRODUCTION:

7

Articles

22

Papers

RESEARCH ACTIVITY:

   14 years (2001 - 2015). See details.
   Cites by year: 51
   Journals where Dirk Tasche has often published
   Relations with other researchers
   Recent citing documents: 126.    Total self citations: 15 (2.04 %)

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   Permalink: http://citec.repec.org/pta409
   Updated: 2019-10-15    RAS profile: 2018-05-13    
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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 (17)

Kondor, Imre (12)

Gordy, Michael (10)

Acerbi, Carlo (9)

Herings, P. Jean-Jacques (9)

Melenberg, Bertrand (9)

Kóczy, László (9)

Lok, Yen (9)

Dacorogna, Michel (7)

cotter, john (6)

Xu, Mingxin (6)

Cites to:

gourieroux, christian (20)

Scaillet, Olivier (20)

Acerbi, Carlo (18)

Gordy, Michael (5)

Artzner, Philippe (4)

Newson, Roger (4)

Kiefer, Nicholas (3)

Vanduffel, Steven (2)

Dacorogna, Michel (2)

Shapiro, Alexander (2)

Hallerbach, Winfried (2)

Main data


Where Dirk Tasche has published?


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

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.

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

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2019A CDS Option Miscellany. (2017). Martin, Richard J. In: Papers. RePEc:arx:papers:1201.0111.

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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.

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

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

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

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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.

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

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

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

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

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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.

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

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

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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.

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

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2019Robustness in the Optimization of Risk Measures. (2018). Embrechts, Paul ; Wang, Ruodu ; Schied, Alexander. In: Papers. RePEc:arx:papers:1809.09268.

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

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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.

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2019Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall. (2019). Tadese, Mekonnen ; Drapeau, Samuel. In: Papers. RePEc:arx:papers:1906.09729.

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2019Critical Decisions for Asset Allocation via Penalized Quantile Regression. (2019). Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:1908.04697.

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2019Is being `Robust beneficial?: A perspective from the Indian market. (2019). Chakrabarty, Siddhartha P ; Oberoi, Shashank ; Girach, Mohammed Bilal. In: Papers. RePEc:arx:papers:1908.05002.

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

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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.

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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.

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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.

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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.

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

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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.

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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.

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2019Optimizing surveillance strategies for early detection of invasive alien species. (2019). Haight, Robert G ; Yemshanov, Denys ; Turgeon, Jean J ; Chen, Yongguang ; Marcotte, Mireille ; Fournier, Ronald E ; Swystun, Tom ; Venette, Robert C ; Koch, Frank H. In: Ecological Economics. RePEc:eee:ecolec:v:162:y:2019:i:c:p:87-99.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2019The role of bitcoin in well diversified portfolios: A comparative global study. (2019). Moro, Andrea ; Kajtazi, Anton. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:143-157.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2019On a family of risk measures based on largest claims. (2019). Sordo, M A ; Pigueiras, G ; Castao-Martinez, A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:92-97.

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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.

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2019Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility. (2019). Brigo, Damiano ; Armstrong, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:122-135.

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2019Expected shortfall and portfolio management in contagious markets. (2019). nicolosi, marco ; Kokholm, Thomas ; Buccioli, Alice. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:100-115.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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2019Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113.

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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.

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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.

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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.

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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.

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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.

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2019CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles. (2019). Uryasev, Stan ; Kuzmenko, Viktor ; Golodnikov, Alex. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:107-:d:242988.

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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.

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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.

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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.

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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.

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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.

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2019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification. (2019). Jain, Shashi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:74-:d:245327.

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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.

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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.

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

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

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

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

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

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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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paper29
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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paper1
2012Capital allocation for credit portfolios under normal and stressed market conditions In: Papers.
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paper0
2013Bayesian estimation of probabilities of default for low default portfolios In: Papers.
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paper3
2012Bounds for rating override rates In: Papers.
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paper0
2013The art of probability-of-default curve calibration In: Papers.
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paper1
2015What is the best risk measure in practice? A comparison of standard measures In: Papers.
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paper42
2015Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 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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paper7
2005Calculating credit risk capital charges with the one-factor model In: Papers.
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paper21
2003A traffic lights approach to PD validation In: Papers.
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paper5
2004Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk In: Papers.
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paper0
2004The single risk factor approach to capital charges in case of correlated loss given default rates In: Papers.
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paper15
2005Estimating Probabilities of Default for Low Default Portfolios In: Papers.
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paper5
2001Conditional Expectation as Quantile Derivative In: Papers.
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paper12
2006Measuring sectoral diversification in an asymptotic multi-factor framework In: Papers.
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paper18
2006Validation of internal rating systems and PD estimates In: Papers.
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paper10
2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk In: Economic Notes.
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article96
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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article335
2002Expected shortfall and beyond In: Journal of Banking & Finance.
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article80
2014Exact Fit of Simple Finite Mixture Models In: Journal of Risk and Financial Management.
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article0
2015The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions In: Journal of Risk and Financial Management.
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article0
2009Capital allocation for credit portfolios with kernel estimators In: Quantitative Finance.
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article7
2003Measuring the Discriminative Power of Rating Systems In: Discussion Paper Series 2: Banking and Financial Studies.
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paper24

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