12
H index
14
i10 index
1237
Citations
Government of Switzerland | 12 H index 14 i10 index 1237 Citations RESEARCH PRODUCTION: 9 Articles 23 Papers 1 Chapters RESEARCH ACTIVITY: 21 years (2001 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pta409 |
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: | Cites to: |
Journals with more than one article published | # docs |
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JRFM | 2 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 22 |
Year | Title of citing document |
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2023 | A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977. Full description at Econpapers || Download paper |
2024 | Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper |
2023 | A discussion of stochastic dominance and mean-CVaR optimal portfolio problems based on mean-variance-mixture models. (2022). Sayit, Hasanjan. In: Papers. RePEc:arx:papers:2202.02488. Full description at Econpapers || Download paper |
2023 | Calibrating distribution models from PELVE. (2022). Wang, Ruodu ; Lin, Liyuan ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2204.08882. Full description at Econpapers || Download paper |
2024 | Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679. Full description at Econpapers || Download paper |
2023 | Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. (2022). 'Alvaro Cartea, ; Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2206.14666. Full description at Econpapers || Download paper |
2023 | Persuading Risk-Conscious Agents: A Geometric Approach. (2022). Lingenbrink, David ; Iyer, Krishnamurthy ; Anunrojwong, Jerry. In: Papers. RePEc:arx:papers:2208.03758. Full description at Econpapers || Download paper |
2023 | Vine Copula based portfolio level conditional risk measure forecasting. (2022). Czado, Claudia ; Bax, Karoline ; Sommer, Emanuel. In: Papers. RePEc:arx:papers:2208.09156. Full description at Econpapers || Download paper |
2023 | A potential mechanism of gas supply-security cooperation based on a game-theoretic model. (2022). Csercsik, D'Avid. In: Papers. RePEc:arx:papers:2209.05089. Full description at Econpapers || Download paper |
2023 | Distortion risk measures in random environments: construction and axiomatic characterization. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo. In: Papers. RePEc:arx:papers:2211.00520. Full description at Econpapers || Download paper |
2023 | Stochastic Algorithms for Advanced Risk Budgeting. (2022). Gu, Olivier ; Fermanian, Jean-David ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2211.07212. Full description at Econpapers || Download paper |
2024 | The limitations of comonotonic additive risk measures: a literature review. (2022). de Oliveira, Eduardo ; Righi, Marcelo Brutti ; Santos, Samuel Solgon. In: Papers. RePEc:arx:papers:2212.13864. Full description at Econpapers || Download paper |
2023 | Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2301.03517. Full description at Econpapers || Download paper |
2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper |
2023 | The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654. Full description at Econpapers || Download paper |
2023 | Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tasche. (2023). Grigutis, Andrius. In: Papers. RePEc:arx:papers:2303.06148. Full description at Econpapers || Download paper |
2023 | Uniform Pessimistic Risk and Optimal Portfolio. (2023). Jeon, Jong-June ; Hong, Sungchul. In: Papers. RePEc:arx:papers:2303.07158. Full description at Econpapers || Download paper |
2023 | A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2304.01207. Full description at Econpapers || Download paper |
2023 | Hedging Valuation Adjustment for Callable Claims. (2023). Essaket, Dounia ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2304.02479. Full description at Econpapers || Download paper |
2023 | Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty. (2023). Tian, Dejian ; Li, Weiwei. In: Papers. RePEc:arx:papers:2304.04396. Full description at Econpapers || Download paper |
2023 | An elementary proof of the dual representation of Expected Shortfall. (2023). Munari, Cosimo ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2306.14506. Full description at Econpapers || Download paper |
2023 | Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint. (2023). Yang, Dongfang ; Xu, Zuo Quan ; Mi, Hui. In: Papers. RePEc:arx:papers:2309.01936. Full description at Econpapers || Download paper |
2023 | Intergenerational Equity in Models of Climate Change Mitigation: Stochastic Interest Rates introduce Adverse Effects, but (Non-linear) Funding Costs can Improve Intergenerational Equity. (2023). Quante, Lennart ; Fries, Christian. In: Papers. RePEc:arx:papers:2309.16186. Full description at Econpapers || Download paper |
2023 | Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327. Full description at Econpapers || Download paper |
2023 | On the General Deviation Measure and the Gini coefficient. (2023). Nisani, Doron. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:599-610. Full description at Econpapers || Download paper |
2023 | Capital requirements and claims recovery: A new perspective on solvency regulation. (2023). Wilhelmy, Lutz ; Weber, Stefan ; Munari, Cosimo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:329-380. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Preference robust distortion risk measure and its application. (2023). Xu, Huifu ; Wang, Wei. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:389-434. Full description at Econpapers || Download paper |
2023 | Estimation of Probabilities for Ordered Sets and Application to Calibration of Rating Models. (2023). Delfau, Emiliano ; Serenelli, Gustavo F. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:849. Full description at Econpapers || Download paper |
2023 | Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. (2023). Vrins, Frederic ; Barbagli, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335. Full description at Econpapers || Download paper |
2023 | A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177. Full description at Econpapers || Download paper |
2023 | GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335. Full description at Econpapers || Download paper |
2023 | PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:353-370. Full description at Econpapers || Download paper |
2023 | Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data. (2023). Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:989-997. Full description at Econpapers || Download paper |
2023 | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347. Full description at Econpapers || Download paper |
2023 | Weather rebate contracts for different risk attitudes of supply chain members. (2023). Fang, L ; Wahab, M. I. M., ; Sarkar, P. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:1:p:139-153. Full description at Econpapers || Download paper |
2023 | Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50. Full description at Econpapers || Download paper |
2023 | The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395. Full description at Econpapers || Download paper |
2023 | A novel downside beta and expected stock returns. (2023). Liu, Jinjing. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004057. Full description at Econpapers || Download paper |
2023 | Coherent measure of portfolio risk. (2023). Ardakani, Omid. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005949. Full description at Econpapers || Download paper |
2023 | A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x. Full description at Econpapers || Download paper |
2023 | Inf-convolution and optimal allocations for mixed-VaRs. (2023). Hu, Taizhong ; Zou, Zhenfeng ; Xia, Zichao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:156-164. Full description at Econpapers || Download paper |
2023 | Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803. Full description at Econpapers || Download paper |
2023 | Short-selling threats and bank risk-taking: Evidence from the financial crisis. (2023). Nguyen, Hong Thoa ; Lin, Chih-Yung ; Hasan, Iftekhar ; Bui, Dien Giau. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:150:y:2023:i:c:s0378426623000596. Full description at Econpapers || Download paper |
2023 | Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic. (2023). Stankov, Petar ; Mensi, Walid ; Enilov, Martin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000642. Full description at Econpapers || Download paper |
2023 | Evaluation of the operational quality of Chinas grain futures market based on the comprehensive information weighting method. (2023). Li, Sijie ; Guo, Wenjing ; Lin, Shengyao ; Xing, Mengyue. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:467-482. Full description at Econpapers || Download paper |
2023 | Less disagreement, better forecasts: adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118451. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Dependent Metaverse Risk Forecasts with Heteroskedastic Models and Ensemble Learning. (2023). Hakim, Arief ; Tjahjono, Venansius ; Syuhada, Khreshna. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:2:p:32-:d:1054142. Full description at Econpapers || Download paper |
2023 | A Forward-Looking IFRS 9 Methodology, Focussing on the Incorporation of Macroeconomic and Macroprudential Information into Expected Credit Loss Calculation. (2023). Verster, Tanja ; Tomar, Vibhu ; Raubenheimer, Helgard ; Raletjene, Matheba ; Marimo, Mercy ; Hurter, Jacques ; Breed, Douw Gerbrand. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:3:p:59-:d:1096881. Full description at Econpapers || Download paper |
2023 | The Impact of ESG Scores on Risk Market Performance. (2023). Aldieri, Luigi ; Candila, Vincenzo ; Amendola, Alessandra. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7183-:d:1132776. Full description at Econpapers || Download paper |
2023 | A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Crepey, Stephane. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-04037328. Full description at Econpapers || Download paper |
2023 | A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Crepey, Stephane. In: Working Papers. RePEc:hal:wpaper:hal-04037328. Full description at Econpapers || Download paper |
2023 | Hedging Valuation Adjustment for Callable Claims. (2023). Essaket, Dounia ; Crepey, Stephane ; Benezet, Cyril. In: Working Papers. RePEc:hal:wpaper:hal-04057045. Full description at Econpapers || Download paper |
2023 | The effect of funding liquidity regulation and ESG promotion on market liquidity. (2023). Csoka, Peter ; Hever, Judit. In: CERS-IE WORKING PAPERS. RePEc:has:discpr:2307. Full description at Econpapers || Download paper |
2023 | Measuring Dependence in a Set of Asset Returns. (2023). Wang, King ; Madan, Dilip B. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:2:d:10.1007_s10690-022-09378-4. Full description at Econpapers || Download paper |
2023 | Portfolio Optimization Via Online Gradient Descent and Risk Control. (2023). Neto, R F ; C. C. H. Borges, ; J. D. M. Yamim, . In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10284-0. Full description at Econpapers || Download paper |
2023 | Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets. (2023). Maurer, Frantz ; Tzagkarakis, George. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10300-3. Full description at Econpapers || Download paper |
2023 | Distribution of credit-risk concentration in particular sectors of the economy, and economic capital before and during the COVID-19 pandemic. (2023). Nehrebecka, Natalia. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09412-5. Full description at Econpapers || Download paper |
2023 | Tőkeallokációs módszerek és tulajdonságaik a gyakorlatban. (2011). Pintér, Miklós ; Csóka, Péter ; Balog, Dóra ; Bátyi, Tamás ; Batyi, Tamas Laszlo ; Csoka, Peter ; Pinter, Miklos . In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1255. Full description at Econpapers || Download paper |
2023 | Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72.. Full description at Econpapers || Download paper |
2023 | Risk mitigation services in cyber insurance: optimal contract design and price structure. (2023). Scherer, Matthias ; Zeller, Gabriela. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:48:y:2023:i:2:d:10.1057_s41288-023-00289-7. Full description at Econpapers || Download paper |
2023 | The riskiness of stock versus money market investment with stochastic rates. (2023). Bihary, Zsolt ; Szabo, David Zoltan. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:31:y:2023:i:2:d:10.1007_s10100-022-00814-4. Full description at Econpapers || Download paper |
2023 | Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint. (2023). Leccadito, Arturo ; Costabile, Massimo ; Russo, Emilio ; Staino, Alessandro. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00439-1. Full description at Econpapers || Download paper |
2023 | Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns. (2023). Loperfido, Nicola ; Shushi, Tomer. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:199:y:2023:i:1:d:10.1007_s10957-023-02252-x. Full description at Econpapers || Download paper |
2023 | Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Mean-Variance-VaR portfolios: MIQP formulation and performance analysis. (2023). Tardella, Fabio ; Martino, Manuel L ; Cesarone, Francesco. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:45:y:2023:i:3:d:10.1007_s00291-023-00719-x. Full description at Econpapers || Download paper |
2023 | Modified Expected Shortfall: a Coherent Risk Measure for Elliptical Family of Distributions. (2023). Variyam, Ramanathan Thekke ; Jadhav, Deepak K. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00294-1. Full description at Econpapers || Download paper |
2023 | Is the regulatory downturn LGD adequate? Performance analysis and alternative methods. (2023). Imanto, Christopher Paulus ; Hartmann-Wendels, Thomas. In: Journal of the Operational Research Society. RePEc:taf:tjorxx:v:74:y:2023:i:3:p:736-747. Full description at Econpapers || Download paper |
2023 | Testing Granger Non-Causality in Expectiles. (2023). Taamouti, Abderrahim ; Doukali, Mohamed ; Bouezmarni, Taoufik. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2023-02. Full description at Econpapers || Download paper |
2023 | Semiparametric estimation of expected shortfall and its application in finance. (2023). Zhao, Yunfan ; Liu, Yinglin ; Fang, Yan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:835-851. Full description at Econpapers || Download paper |
2023 | Modeling uncertainty in financial tail risk: A forecast combination and weighted quantile approach. (2023). Wang, Chao ; Storti, Giuseppe. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1648-1663. Full description at Econpapers || Download paper |
2023 | Less disagreement, better forecasts: Adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1332-1372. Full description at Econpapers || Download paper |
2023 | Enhancing gradient capital allocation with orthogonal convexity scenarios. (2023). Schlutter, Sebastian ; Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4723. Full description at Econpapers || Download paper |
2023 | Identifying scenarios for the own risk and solvency assessment of insurance companies. (2023). Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4823. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2008 | Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle In: Papers. [Full Text][Citation analysis] | paper | 67 |
2007 | Incorporating exchange rate risk into PDs and asset correlations In: Papers. [Full Text][Citation analysis] | paper | 4 |
2010 | Estimating discriminatory power and PD curves when the number of defaults is small In: Papers. [Full Text][Citation analysis] | paper | 4 |
2012 | Capital allocation for credit portfolios under normal and stressed market conditions In: Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Bayesian estimation of probabilities of default for low default portfolios In: Papers. [Full Text][Citation analysis] | paper | 6 |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | ||
2012 | Bounds for rating override rates In: Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | The art of probability-of-default curve calibration In: Papers. [Full Text][Citation analysis] | paper | 6 |
2015 | What is the best risk measure in practice? A comparison of standard measures In: Papers. [Full Text][Citation analysis] | paper | 127 |
2015 | Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Proving prediction prudence In: Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Calculating Value-at-Risk contributions in CreditRisk+ In: Papers. [Full Text][Citation analysis] | paper | 2 |
2002 | A shortcut to sign Incremental Value-at-Risk for risk allocation In: Papers. [Full Text][Citation analysis] | paper | 2 |
2003 | A Shortcut to Sign Incremental Value at Risk for Risk Allocation.(2003) In: Journal of Risk Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2002 | Remarks on the monotonicity of default probabilities In: Papers. [Full Text][Citation analysis] | paper | 2 |
2002 | Credit Risk Contributions to Value-at-Risk and Expected Shortfall In: Papers. [Full Text][Citation analysis] | paper | 5 |
2005 | Calculating credit risk capital charges with the one-factor model In: Papers. [Full Text][Citation analysis] | paper | 30 |
2003 | A traffic lights approach to PD validation In: Papers. [Full Text][Citation analysis] | paper | 11 |
2004 | Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk In: Papers. [Full Text][Citation analysis] | paper | 1 |
2004 | The single risk factor approach to capital charges in case of correlated loss given default rates In: Papers. [Full Text][Citation analysis] | paper | 24 |
2005 | Estimating Probabilities of Default for Low Default Portfolios In: Papers. [Full Text][Citation analysis] | paper | 14 |
2006 | Estimating Probabilities of Default for Low Default Portfolios.(2006) In: Springer Books. [Citation analysis] This paper has nother version. Agregated cites: 14 | chapter | |
2001 | Conditional Expectation as Quantile Derivative In: Papers. [Full Text][Citation analysis] | paper | 16 |
2006 | Measuring sectoral diversification in an asymptotic multi-factor framework In: Papers. [Full Text][Citation analysis] | paper | 25 |
2006 | Validation of internal rating systems and PD estimates In: Papers. [Full Text][Citation analysis] | paper | 14 |
2002 | Expected Shortfall: A Natural Coherent Alternative to Value at Risk In: Economic Notes. [Full Text][Citation analysis] | article | 175 |
2015 | THE NUMERICS OF PREMIUM BONDS In: Journal of Gambling Business and Economics. [Full Text][Citation analysis] | article | 0 |
2002 | On the coherence of expected shortfall In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 539 |
2002 | Expected shortfall and beyond In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 116 |
2014 | Exact Fit of Simple Finite Mixture Models In: JRFM. [Full Text][Citation analysis] | article | 0 |
2015 | The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions In: JRFM. [Full Text][Citation analysis] | article | 0 |
2009 | Capital allocation for credit portfolios with kernel estimators In: Quantitative Finance. [Full Text][Citation analysis] | article | 11 |
2003 | Measuring the Discriminative Power of Rating Systems In: Discussion Paper Series 2: Banking and Financial Studies. [Full Text][Citation analysis] | paper | 36 |
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