Dirk Tasche : Citation Profile

North-West University

13

H index

14

i10 index

1401

Citations

RESEARCH PRODUCTION:

15

Articles

24

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 58
   Journals where Dirk Tasche has often published
   Relations with other researchers
   Recent citing documents: 125.    Total self citations: 18 (1.27 %)

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   Permalink: http://citec.repec.org/pta409
   Updated: 2025-12-13    RAS profile: 2025-09-01    
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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 (22)

Righi, Marcelo (19)

Kondor, Imre (12)

Dacorogna, Michel (11)

Mora-Valencia, Andrés (10)

Gordy, Michael (10)

Acerbi, Carlo (10)

Kóczy, László (9)

Lok, Yen (9)

Herings, P. Jean-Jacques (9)

Melenberg, Bertrand (9)

Cites to:

gourieroux, christian (20)

Scaillet, Olivier (20)

Acerbi, Carlo (20)

Engelmann, Bernd (5)

Gordy, Michael (5)

Artzner, Philippe (4)

Shapiro, Alexander (3)

Kiefer, Nicholas (3)

Newson, Roger (3)

Hallerbach, Winfried (2)

Schuermann, Til (2)

Main data

Where Dirk Tasche has published?

Journals with more than one article published# docs
Journal of Credit Risk4
Journal of Risk2
Journal of Banking & Finance2
JRFM2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org23

Recent works citing Dirk Tasche (2025 and 2024)

YearTitle of citing document
2024Multinomial Backtesting of Distortion Risk Measures. (2024). Weber, Stefan ; Bettels, Soren ; Kim, Sojung. In: Papers. RePEc:arx:papers:2201.06319.

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2025A discussion of stochastic dominance and mean-risk optimal portfolio problems based on mean-variance-mixture models. (2025). Sayit, Hasanjan. In: Papers. RePEc:arx:papers:2202.02488.

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2024Diversification quotients: Quantifying diversification via risk measures. (2024). Han, Xia ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2206.13679.

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2024Statistical Learning of Value-at-Risk and Expected Shortfall. (2024). Cr, S ; Nguyen, Hoang-Dung ; Gobet, E ; Barrera, D ; Saadeddine, B. In: Papers. RePEc:arx:papers:2209.06476.

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2025On conditional distortion risk measures under uncertainty. (2025). Hu, Yijun ; Gong, Shuo ; Wei, Linxiao. In: Papers. RePEc:arx:papers:2211.00520.

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2024The limitations of comonotonic additive risk measures: a literature review. (2024). Righi, Marcelo ; Santos, Samuel Solgon ; de Oliveira, Eduardo. In: Papers. RePEc:arx:papers:2212.13864.

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2024Uniform Pessimistic Risk and its Optimal Portfolio. (2024). Hong, Sungchul ; Jeon, Jong-June. In: Papers. RePEc:arx:papers:2303.07158.

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2024A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2024). Cr, St'Ephane ; Frikha, Noufel ; Louzi, Azar. In: Papers. RePEc:arx:papers:2304.01207.

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2025Hedging Valuation Adjustment for Callable Claims. (2025). Cr, St'Ephane ; Essaket, Dounia. In: Papers. RePEc:arx:papers:2304.02479.

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2025Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2025A framework for the valuation of insurance liabilities by production cost. (2023). Moehr, Christoph. In: Papers. RePEc:arx:papers:2401.00263.

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2024Proof of Efficient Liquidity: A Staking Mechanism for Capital Efficient Liquidity. (2024). Sharma, Utkarsh ; Tobkin, Joshua ; Abgaryan, Arman. In: Papers. RePEc:arx:papers:2401.04521.

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2024Provisions and Economic Capital for Credit Losses. (2024). Cr, St'Ephane ; Bastide, Dorinel. In: Papers. RePEc:arx:papers:2401.07728.

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2024Cross-Domain Behavioral Credit Modeling: transferability from private to central data. (2024). Didkovskyi, O ; Jean, N ; le Pera, G ; Nordio, C. In: Papers. RePEc:arx:papers:2401.09778.

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2024Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701.

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2024Derivatives of Risk Measures. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2404.09646.

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2025Elicitability and identifiability of tail risk measures. (2024). Fissler, Tobias ; Wang, Ruodu ; Wei, Linxiao ; Liu, Fangda. In: Papers. RePEc:arx:papers:2404.14136.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2024Some properties of Euler capital allocation. (2024). Holden, Lars. In: Papers. RePEc:arx:papers:2405.00606.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2024An Asymptotic CVaR Measure of Risk for Markov Chains. (2024). Borkar, Vivek ; Patel, Shivam. In: Papers. RePEc:arx:papers:2405.13513.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2025Risk measures based on target risk profiles. (2025). Sass, Jorn ; Laudag, Christian ; Alexander, Jascha. In: Papers. RePEc:arx:papers:2409.17676.

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2024Estimation of the Adjusted Standard-deviatile for Extreme Risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Papers. RePEc:arx:papers:2411.07203.

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2024Mirror Descent Algorithms for Risk Budgeting Portfolios. (2024). Frikha, Noufel ; Cetingoz, Adil Rengim ; Iglesias, Martin Arnaiz. In: Papers. RePEc:arx:papers:2411.12323.

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2025On multivariate contribution measures of systemic risk with applications in cryptocurrency market. (2025). Zhang, Yiying ; Pu, Tong ; Li, Junxue ; Wen, Limin. In: Papers. RePEc:arx:papers:2411.13384.

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2024Quantiles under ambiguity and risk sharing. (2024). Liu, Peng ; Wang, Ruodu ; Mao, Tiantian. In: Papers. RePEc:arx:papers:2412.19546.

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2025Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978.

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2025A cost of capital approach to determining the LGD discount rate. (2025). Botha, Arno ; Larney, Janette ; Grobler, Gerrit Lodewicus ; Raubenheimer, Helgard. In: Papers. RePEc:arx:papers:2503.23992.

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2025Marginal expected shortfall: Systemic risk measurement under dependence uncertainty. (2025). Lin, Sheldon X ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2504.19953.

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2025Learning to optimize convex risk measures: The cases of utility-based shortfall risk and optimized certainty equivalent risk. (2025). Gupte, Sumedh ; Bhat, Sanjay P. In: Papers. RePEc:arx:papers:2506.01101.

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2025On Design of Representative Distributionally Robust Formulations for Evaluation of Tail Risk Measures. (2025). Deo, Anand. In: Papers. RePEc:arx:papers:2506.16230.

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2025Extreme-case Range Value-at-Risk under Increasing Failure Rate. (2025). Su, Yuting ; Hu, Taizhong ; Zou, Zhenfeng. In: Papers. RePEc:arx:papers:2506.23073.

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2025Function approximations for counterparty credit exposure calculations. (2025). Demeterfi, Domagoj ; Glau, Kathrin ; Wunderlich, Linus. In: Papers. RePEc:arx:papers:2507.09004.

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2025PELVaR: Probability equal level representation of Value at Risk through the notion of Flexible Expected Shortfall. (2025). Papayiannis, Georgios I ; Psarrakos, Georgios. In: Papers. RePEc:arx:papers:2507.13562.

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2025Higher moments under dependence uncertainty with applications in insurance. (2025). Vanduffel, Steven ; Bernard, Carole ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2508.16600.

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2025FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.02986.

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2025Tail-Safe Hedging: Explainable Risk-Sensitive Reinforcement Learning with a White-Box CBF--QP Safety Layer in Arbitrage-Free Markets. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04555.

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2025Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04569.

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2025Coherent estimation of risk measures. (2025). Jelito, Damian ; Cialenco, Igor ; Pitera, Marcin ; Aichele, Martin. In: Papers. RePEc:arx:papers:2510.05809.

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2025Inverse Portfolio Optimization with Synthetic Investor Data: Recovering Risk Preferences under Uncertainty. (2025). Cha, Jinho ; Lee, Jaejin ; Cho, Jaeyoung ; le Hoa, Thi ; Pham, Long. In: Papers. RePEc:arx:papers:2510.06986.

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2025Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.15937.

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2025A high-frequency approach to Realized Risk Measures. (2025). Mazzarisi, Piero ; Lillo, Fabrizio ; Gatta, Federico. In: Papers. RePEc:arx:papers:2510.16526.

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2025Trading with the Devil: Risk and Return in Foundation Model Strategies. (2025). Zhang, Jinrui. In: Papers. RePEc:arx:papers:2510.17165.

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2024Rating the Raters. Some Perspective From a Central Bank. (2024). Columba, Francesco ; Tranquillo, Stefano ; Orsini, Federica. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_055_024.

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2024Rating the Raters. Some Perspective From a Central Bank. (2024). Columba, Francesco ; Tranquillo, Stefano ; Orsini, Federica. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:mip_055_024.

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2025An axiomatic approach to default risk and model uncertainty in rating systems. (2025). Streicher, Jan ; Nendel, Max. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:725.

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2025A hypothesis test for the long-term calibration in rating systems with overlapping time windows. (2025). Kurth, Patrick ; Streicher, Jan ; Nendel, Max. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:735.

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2024Good risk measures, bad statistical assumptions, ugly risk forecasts. (2024). Poudyal, Niraj ; Michaelides, Michael. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:519-543.

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2024Risk Budgeting portfolios: Existence and computation. (2024). Guéant, Olivier ; Cetingoz, Adil Rengim ; Guant, Olivier ; Fermanian, Jeandavid. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:896-924.

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2024Estimation of the adjusted standard‐deviatile for extreme risks. (2024). Yang, Fan ; Mao, Tiantian ; Chen, Haoyu. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:2:p:643-671.

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2024Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach. (2024). van der Lecq, Max ; van Vuuren, Gary. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-01-1.

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2024Efficient and robust optimal design for quantile regression based on linear programming. (2024). Uryasev, Stan ; Kouri, Drew P ; Peng, Cheng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:192:y:2024:i:c:s0167947323002037.

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2025Resilience of energy market under geopolitical risks: What’s the policy implications?. (2025). Chang, Chun-Ping ; Li, Jing ; Yin, Zhujia ; Zhu, Yingxin ; Cao, Jie. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:86:y:2025:i:c:p:1706-1724.

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2025Cross-country risk spillovers: A FHM factor copula approach. (2025). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s026499932500118x.

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2024Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk. (2024). Righi, Marcelo ; Muller, Fernanda Maria ; Foguesatto, Cristian Rogerio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000652.

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2024Financial stability policy and downside risk in stock returns. (2024). Yang, Jianlei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001219.

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2024Retire: Robust expectile regression in high dimensions. (2024). Wang, Zian ; Zhou, Wen-Xin ; Man, Rebeka ; Tan, Kean Ming. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001537.

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2025Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall. (2025). Catania, Leopoldo ; Luati, Alessandra. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:23-34.

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2024A theory of multivariate stress testing. (2024). Wang, Ruodu ; Millossovich, Pietro ; Tsanakas, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:851-866.

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2025Monitoring bank risk around the world using unsupervised learning. (2025). TARAZI, Amine ; Lardy, Jean-Pierre ; Armand, Paul ; Mercadier, Mathieu. In: European Journal of Operational Research. RePEc:eee:ejores:v:324:y:2025:i:2:p:590-615.

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2025Pricing climate transition risk: Evidence from European corporate CDS. (2025). Costola, Michele ; Vozian, Katia. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000714.

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2024Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs. (2024). Sensoy, Ahmet ; Goodell, John W ; Pradhan, H K ; Banerjee, Ameet Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005112.

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2024VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Qiu, Zhiguo ; Nakata, Keiichi. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346.

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2024Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models. (2024). Huang, Yujun. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002527.

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2025No shortfall of ES estimators: Insights from cryptocurrency portfolios. (2025). Výrost, Tomáš ; Horváth, Matúš ; Vrost, Tom ; Horvth, Mat. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324017148.

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2024Stressing dynamic loss models. (2024). Pesenti, Silvana M ; Jaimungal, Sebastian ; Kroell, Emma. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:114:y:2024:i:c:p:56-78.

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2024Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models. (2024). Xu, Ziqing ; Huang, Zhenzhen ; Kwok, Yue Kuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:132-150.

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2024Inter-order relations between equivalence for Lp-quantiles of the Students t distribution. (2024). Bignozzi, Valeria ; Merlo, Luca ; Petrella, Lea. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:44-50.

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2024On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization. (2024). Stadje, Mitja ; Zhang, Fangyuan ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:114-129.

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2024Multinomial backtesting of distortion risk measures. (2024). Kim, Sojung ; Bettels, Sren ; Weber, Stefan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:130-145.

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2024Bivariate Tail Conditional Co-Expectation for elliptical distributions. (2024). Palestini, Arsen ; Cerqueti, Roy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:251-260.

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2025Pricing insurance contracts with an existing portfolio as background risk. (2025). de Vecchi, Corrado ; Scherer, Matthias. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:180-193.

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2025Identifying scenarios for the own risk and Solvency assessment of insurance companies. (2025). Aigner, Philipp. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:122:y:2025:i:c:p:30-43.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024On the estimation of Value-at-Risk and Expected Shortfall at extreme levels. (2024). Wang, Shixuan ; Lazar, Emese ; Pan, Jingqi. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:34:y:2024:i:c:s2405851324000102.

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2025Conditional generalized quantiles as systemic risk measures: Properties, estimation, and application. (2025). Syuhada, Khreshna ; Salman, A. N. M., ; Hakim, Arief. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:235:y:2025:i:c:p:60-84.

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2024Risk preferences, newsvendor orders and supply chain coordination using the Mean-CVaR model. (2024). Jammernegg, Werner ; Kischka, Peter ; Silbermayr, Lena. In: International Journal of Production Economics. RePEc:eee:proeco:v:270:y:2024:i:c:s0925527324000288.

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2025The effect of regulatory requirements on market liquidity: ESG promotion as a special case. (2025). Csóka, Péter ; Cska, Pter ; Hevr, Judit. In: International Review of Economics & Finance. RePEc:eee:reveco:v:100:y:2025:i:c:s1059056025002412.

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2024Assessing the impact of taxation on the effective tax rate and operational risk of capital investment projects under optimal capital structures. (2024). Paquin, Jean-Paul ; Tessier, David ; Koplyay, Tamas ; Racicot, Franois-Ric. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024005811.

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2024Up- and down-correlations in normal variance mixture models. (2024). Vanduffel, Steven ; Shushi, Tomer ; Ansari, Jonathan. In: Statistics & Probability Letters. RePEc:eee:stapro:v:205:y:2024:i:c:s0167715223001736.

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2025Asymptotic normality of the Conditional Value-at-Risk based Pickands estimator. (2025). Li, Yizhou ; Polak, Pawe. In: Statistics & Probability Letters. RePEc:eee:stapro:v:223:y:2025:i:c:s0167715225000562.

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2024The Financial Market of Indices of Socioeconomic Well-Being. (2024). Mahanama, Thilini V ; Rachev, Svetlozar ; Fabozzi, Frank J ; Shirvani, Abootaleb. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:1:p:35-:d:1319881.

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2024Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets. (2024). Fantazzini, Dean. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:248-:d:1414302.

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2024Capturing Tail Risks in Cryptomarkets: A New Systemic Risk Approach. (2024). Shushi, Tomer ; Yosef, Rami ; Barkai, Itai ; Hadad, Elroi. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:9:p:397-:d:1471851.

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2025Using Markov Chains and Entropy to Explain Value at Risk in European Electricity Markets. (2025). Joaqui-Barandica, Orlando ; Manotas-Duque, Diego F ; Orozco-Cern, Oscar Walduin. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:10:p:591-:d:1775045.

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2025Historical Simulation Systematically Underestimates the Expected Shortfall. (2025). Garca-Risueo, Pablo. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:1:p:34-:d:1567358.

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2025A New G Family: Properties, Characterizations, Different Estimation Methods and PORT-VaR Analysis for U.K. Insurance Claims and U.S. House Prices Data Sets. (2025). Zayed, Mohammad A ; Yousof, Haitham M ; Ibrahim, Mohamed ; Ahmed, Nazar Ali ; Hamedani, G G ; Aboalkhair, Ahmad M. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:19:p:3097-:d:1759131.

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2025Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice. (2025). Centrone, Francesca ; Gianin, Emanuela Rosazza. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:6:p:964-:d:1612548.

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2025Inferred Loss Rate as a Credit Risk Measure in the Bulgarian Banking System. (2025). Boutchaktchiev, Vilislav. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1462-:d:1645779.

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2024Enhancing Portfolio Decarbonization Through SensitivityVaR and Distorted Stochastic Dominance. (2024). Syuhada, Khreshna ; Puspita, Dila ; Neswan, Oki ; Rohmawati, Aniq. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:10:p:167-:d:1502500.

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2024A Hypothesis Test for the Long-Term Calibration in Rating Systems with Overlapping Time Windows. (2024). Kurth, Patrick ; Nendel, Max ; Streicher, Jan. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:8:p:131-:d:1458069.

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2024A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2024). Louzi, Azar ; Crepey, Stephane ; Frikha, Noufel. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-04037328.

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2024Basel IV and the structural relationship between SA and IMA. (2024). Rossignolo, Adrin F. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:19:y:2024:i:2:a:1.

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2024Fairness of Ratemaking for Catastrophe Insurance: Lessons from Machine Learning. (2024). Zhang, Nan ; Xu, Heng. In: Information Systems Research. RePEc:inm:orisre:v:35:y:2024:i:2:p:469-488.

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2024Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure. (2024). Ye, Yinyu ; Xu, Chunhui. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10451-x.

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2024Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study. (2024). Hossain, Amjad ; Lalon, Raad ; Abedin, Mohammad Zoynul ; Mozumder, Sharif. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10545-6.

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2025Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model. (2025). Tian, Boping. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10592-7.

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2025Minimum capital requirement portfolios according to the new Basel framework for market risk. (2025). Avellone, Alessandro ; Foroni, Ilaria ; Pederzoli, Chiara. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:2:d:10.1007_s11408-024-00454-5.

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2025Spectral risk for digital assets. (2025). Horváth, Matúš ; Hrdle, Wolfgang Karl ; Wang, Xingjia ; Horvth, Mat ; Lu, Meng-Jou. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:64:y:2025:i:2:d:10.1007_s11156-024-01313-0.

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2024Credit loss modelling using beta distribution in a Bayesian approach. (2024). Kopciuszewski, Pawe ; Ptak-Chmielewska, Aneta. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:55:y:2024:i:3:p:313-332.

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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.
[Full Text][Citation analysis]		paper69
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]		paper4
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]		paper8
2013Bayesian estimation of probabilities of default for low default portfolios.(2013) In: Journal of Risk Management in Financial Institutions.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2012Bounds for rating override rates In: Papers.
[Full Text][Citation analysis]		paper0
Bounds for rating override rates.() In: Journal of Credit Risk.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2013The art of probability-of-default curve calibration In: Papers.
[Full Text][Citation analysis]		paper7
The art of probability-of-default curve calibration.() In: Journal of Credit Risk.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2015What is the best risk measure in practice? A comparison of standard measures In: Papers.
[Full Text][Citation analysis]		paper146
What is the best risk measure in practice? A comparison of standard measures.() In: Journal of Risk.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 146		article
2015Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds In: Papers.
[Full Text][Citation analysis]		paper0
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds.() In: Journal of Credit Risk.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2022Proving prediction prudence In: Papers.
[Full Text][Citation analysis]		paper0
2025Recalibrating binary probabilistic classifiers 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]		paper2
2003A 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
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]		paper5
2005Calculating credit risk capital charges with the one-factor model In: Papers.
[Full Text][Citation analysis]		paper33
Calculating credit risk capital charges with the one-factor model.() In: Journal of Risk.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2003A traffic lights approach to PD validation In: Papers.
[Full Text][Citation analysis]		paper13
2004Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk In: Papers.
[Full Text][Citation analysis]		paper1
2004The single risk factor approach to capital charges in case of correlated loss given default rates In: Papers.
[Full Text][Citation analysis]		paper28
2005Estimating Probabilities of Default for Low Default Portfolios In: Papers.
[Full Text][Citation analysis]		paper14
2006Estimating Probabilities of Default for Low Default Portfolios.(2006) In: Springer Books.
[Citation analysis]
This paper has nother version. Agregated cites: 14		chapter
2001Conditional Expectation as Quantile Derivative In: Papers.
[Full Text][Citation analysis]		paper17
2006Measuring sectoral diversification in an asymptotic multi-factor framework In: Papers.
[Full Text][Citation analysis]		paper27
Measuring sectoral diversification in an asymptotic multifactor framework.() In: Journal of Credit Risk.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		article
2006Validation of internal rating systems and PD estimates In: Papers.
[Full Text][Citation analysis]		paper16
2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk In: Economic Notes.
[Full Text][Citation analysis]		article212
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]		article608
2002Expected shortfall and beyond In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article132
2014Exact Fit of Simple Finite Mixture Models In: JRFM.
[Full Text][Citation analysis]		article0
2015The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions In: JRFM.
[Full Text][Citation analysis]		article0
2009Capital allocation for credit portfolios with kernel estimators In: Quantitative Finance.
[Full Text][Citation analysis]		article15
2003Measuring the Discriminative Power of Rating Systems In: Discussion Paper Series 2: Banking and Financial Studies.
[Full Text][Citation analysis]		paper36

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