Dirk Tasche : Citation Profile


Are you Dirk Tasche?

Government of Switzerland

10

H index

11

i10 index

800

Citations

RESEARCH PRODUCTION:

7

Articles

23

Papers

RESEARCH ACTIVITY:

   14 years (2001 - 2015). See details.
   Cites by year: 57
   Journals where Dirk Tasche has often published
   Relations with other researchers
   Recent citing documents: 113.    Total self citations: 15 (1.84 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta409
   Updated: 2020-08-09    RAS profile: 2020-05-16    
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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)

Lok, Yen (9)

Kóczy, László (9)

Melenberg, Bertrand (9)

Dacorogna, Michel (7)

De Waegenaere, Anja (6)

GUEGAN, Dominique (6)

Cites to:

Scaillet, Olivier (20)

gourieroux, christian (20)

Acerbi, Carlo (18)

Gordy, Michael (5)

Newson, Roger (4)

Artzner, Philippe (4)

Kiefer, Nicholas (3)

Shapiro, Alexander (3)

Schuermann, Til (2)

Vanduffel, Steven (2)

Hallerbach, Winfried (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.org22

Recent works citing Dirk Tasche (2020 and 2019)


YearTitle of citing document
2019Sectoral Risks in Vietnam and Malaysia A Comparative Analysis. (2019). Vo, Duc ; Pham, Trung Vu-Thanh ; van Tuan, Quang. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:1:p:62-87.

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

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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). Minami, Mihoko ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1702.03098.

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2019On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2019Regression Based Expected Shortfall Backtesting. (2019). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1801.04112.

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2020A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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

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2019Elicitability of Range Value at Risk. (2019). Ziegel, Johanna F ; Fissler, Tobias. In: Papers. RePEc:arx:papers:1902.04489.

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2019Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles. (2019). Roncalli, Thierry ; Richard, Jean-Charles . In: Papers. RePEc:arx:papers:1902.05710.

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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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2020Relative 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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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

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2019Dual Representation of Expectile based Expected Shortfall and Its Properties. (2019). Tadese, Mekonnen ; Drapeau, Samuel . In: Papers. RePEc:arx:papers:1911.03245.

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2020The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:2001.00529.

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

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2020Non-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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2020Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:2005.12593.

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

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2020Estimating the probability of default for no‐default and low‐default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107.

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2020Risk Measures Based on Benchmark Loss Distributions. (2020). Munari, Cosimo ; Burzoni, Matteo ; Bignozzi, Valeria. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:437-475.

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

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2019Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. (2019). Gao, Jianjun ; Cui, Xiangyu ; Li, Duan ; Strub, Moris S. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301502.

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2020Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397.

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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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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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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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2020A generalization of the Aumann–Shapley value for risk capital allocation problems. (2020). De Waegenaere, Anja ; Norde, Henk ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:277-287.

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2020Beyond expected utility: Subjective risk aversion and optimal portfolio choice under convex shortfall risk measures. (2020). Kursten, Wolfgang ; Brandtner, Mario ; Rischau, Robert. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:3:p:1114-1126.

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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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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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2019Backtesting VaR and ES under the magnifying glass. (2019). Panopoulou, Ekaterini ; Argyropoulos, Christos. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:22-37.

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2019Modeling diversification and spillovers of loan portfolios losses by LHP approximation and copula. (2019). Yang, Kisung ; Lee, Yongwoong . In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919300894.

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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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2020Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market. (2020). Sobreira, Nuno ; Louro, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305403.

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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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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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2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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2019A new approach to optimal capital allocation for RORAC maximization in banks. (2019). Poshakwale, Sunil ; Kang, Woo-Young. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:153-165.

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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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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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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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2019Estimation of capital requirements in downturn conditions via the CBV model: Evidence from the Greek banking sector. (2019). Papalamprou, Konstantinos ; Antoniou, Paschalis. In: Operations Research Perspectives. RePEc:eee:oprepe:v:6:y:2019:i:c:s2214716017301847.

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2019A Generalized Error Distribution Copula-based method for portfolios risk assessment. (2019). Cerqueti, Roy ; Giacalone, Massimiliano ; Panarello, Demetrio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:687-695.

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2019Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach. (2019). He, Yaoyao ; Jiang, Cuixia ; Li, Mengting ; Xu, Qifa. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312609.

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2020Risks in emerging markets equities: Time-varying versus spatial risk analysis. (2020). Owusu Junior, Peterson ; Alagidede, Imhotep. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319405.

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2020A risk-averse and buyer-led supply chain under option contract: CVaR minimization and channel coordination. (2020). Fan, Yinghua ; Shou, Yongyi ; Feng, YI. In: International Journal of Production Economics. RePEc:eee:proeco:v:219:y:2020:i:c:p:66-81.

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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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2020On the investment credentials of Bitcoin: A cross-currency perspective. (2020). Bedi, Prateek ; Nashier, Tripti. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301722.

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2020A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Velasquez-Gaviria, Daniel. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2805-:d:366071.

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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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2020Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio. (2020). Di Clemente, Annalisa. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:129-:d:372631.

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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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2019A New Heavy Tailed Class of Distributions Which Includes the Pareto. (2019). Meenakshi, Mareeswaran ; Calderin-Ojeda, Enrique ; Bhati, Deepesh. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:4:p:99-:d:269272.

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2020CARL and His POT: Measuring Risks in Commodity Markets. (2020). Algieri, Bernardina ; Leccadito, Arturo. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:27-:d:332245.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2020). Hofert, Marius ; Koike, Takaaki. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:6-:d:308941.

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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). Kratz, Marie ; Das, Bikramjit. 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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2018On the Dependence between Quantiles and Dispersion Estimators. (2018). Kratz, Marie ; Brautigam, Marcel. In: Working Papers. RePEc:hal:wpaper:hal-02296832.

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2020Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-02619589.

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2020Backtesting 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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2018STUDYING THE REPLICABILITY OF AGGREGATE EXTERNAL CREDIT ASSESSMENTS USING PUBLIC INFORMATION. (2018). Seleznyova, Zinaida V ; Lapshin, Victor A ; Kurbangaleev, Marat Z. In: HSE Working papers. RePEc:hig:wpaper:71/fe/2018.

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2019Análisis comparativo de las metodologías de estimación semiparamétricas y vía cópulas del Valor en Riesgo (VaR) en el mercado accionario colombiano. (2019). Chaves, Javier Deaza ; Pineda-Rios, Wilmer ; Alba, Miguel Antonio. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:2:p:279-307.

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2019Basel IV A gloomy future for Expected Shortfall risk models. Evidence from the Mexican Stock Market. (2019). Rossignolo, Adrian F. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:pnea:p:559-582.

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

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2019Implied risk aversion: an alternative rating system for retail structured products. (2019). Seifried, F T ; Sass, J ; Geissel, S ; Fink, H. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-018-9151-0.

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2019Abszolút hozamú befektetési alapok teljesítményének értékelése - a teljesítménymanipulálás kimutatása. (2019). Racz, David Andor. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1856.

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2020On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗. (2020). Broda, Simon ; Arismendi Zambrano, Juan ; Arismendi-Zambrano, Juan Carlos. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n302-20.pdf.

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2019A Breakthrough Idea in Risk Measure Validation – Is the Way Paved for an Effective Expected Shortfall Backtest?. (2019). Bugar, Gyongyi . In: Financial and Economic Review. RePEc:mnb:finrev:v:18:y:2019:i:4:p:130-145.

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2018Numerical comparison of multivariate models to forecasting risk measures. (2018). Righi, Marcelo Brutti ; Muller, Fernanda Maria . In: Risk Management. RePEc:pal:risman:v:20:y:2018:i:1:d:10.1057_s41283-017-0026-8.

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2019A fuzzy approach for the estimation of foreign investment risk based on values of rating indices. (2019). Fiala, Petr ; Hakova, Simona . In: Risk Management. RePEc:pal:risman:v:21:y:2019:i:3:d:10.1057_s41283-019-00051-1.

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2019Interactions between Credit and Market Risk, Diversification vs Compounding effects. (2019). Szybisz, Martin Andres. In: MPRA Paper. RePEc:pra:mprapa:93173.

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2019Incremental Risk Charge Methodology. (2019). Xiao, Tim. In: MPRA Paper. RePEc:pra:mprapa:94581.

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2019The Evaluation of Model Risk for Probability of Default and Expected Loss. (2019). Tiomo, Andre ; Gourieroux, Christian. In: MPRA Paper. RePEc:pra:mprapa:95795.

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2019A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2019). Fantazzini, Dean ; Zimin, Stephan. In: MPRA Paper. RePEc:pra:mprapa:95988.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: MPRA Paper. RePEc:pra:mprapa:95992.

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2019Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures. (2019). Nehrebecka, Natalia. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:37:y:2019:i:2:p:681-712.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: Applied Econometrics. RePEc:ris:apltrx:0372.

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

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2019Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR. (2019). Maillard, Didier ; Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2792-4.

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2020The Skew Normal multivariate risk measurement framework. (2020). Palestini, Arsen ; Cerqueti, Roy ; Bernardi, Mauro. In: Computational Management Science. RePEc:spr:comgts:v:17:y:2020:i:1:d:10.1007_s10287-019-00350-8.

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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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paper30
2007Incorporating exchange rate risk into PDs and asset correlations In: Papers.
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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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paper4
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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paper3
2015What is the best risk measure in practice? A comparison of standard measures In: Papers.
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paper55
2015Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds In: Papers.
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2020Proving prediction prudence In: Papers.
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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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paper22
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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paper16
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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paper14
2006Measuring sectoral diversification in an asymptotic multi-factor framework In: Papers.
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paper20
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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article105
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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article376
2002Expected shortfall and beyond In: Journal of Banking & Finance.
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article87
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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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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