Dirk Tasche : Citation Profile

Are you Dirk Tasche?

Government of Switzerland

10

H index

10

i10 index

535

Citations

RESEARCH PRODUCTION:

6

Articles

22

Papers

RESEARCH ACTIVITY:

   14 years (2001 - 2015). See details.
   Cites by year: 38
   Journals where Dirk Tasche has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 14 (2.55 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta409
   Updated: 2017-06-10    RAS profile: 2016-07-17    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Dirk Tasche.

Is cited by:

Csóka, Péter (15)

Gordy, Michael (10)

Kondor, Imre (10)

Herings, P. Jean-Jacques (9)

Kóczy, László (9)

Melenberg, Bertrand (9)

Acerbi, Carlo (9)

cotter, john (6)

Guillen, Montserrat (6)

Tente, Natalia (6)

Xu, Mingxin (6)

Cites to:

Acerbi, Carlo (15)

Scaillet, Olivier (15)

gourieroux, christian (15)

Gordy, Michael (5)

Artzner, Philippe (4)

Newson, Roger (3)

Kiefer, Nicholas (3)

Shapiro, Alexander (2)

Dacorogna, Michel (2)

Hallerbach, Winfried (2)

Bassett, Gilbert (1)

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 (2017 and 2016)

YearTitle of citing document
2016Drawdown: From Practice to Theory and Back Again. (2016). Mahmoud, Ola ; Goldberg, Lisa R.. In: Papers. RePEc:arx:papers:1404.7493.

Full description at Econpapers || Download paper

2016The Temporal Dimension of Risk. (2016). Mahmoud, Ola. In: Papers. RePEc:arx:papers:1501.01573.

Full description at Econpapers || Download paper

2016Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio . In: Papers. RePEc:arx:papers:1501.02007.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Loss-Deviation risk measures. (2016). Righi, Marcelo Brutti . In: Papers. RePEc:arx:papers:1511.06943.

Full description at Econpapers || Download paper

2016Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution. (2016). Stavroyiannis, Stavros . In: Papers. RePEc:arx:papers:1602.05749.

Full description at Econpapers || Download paper

2016Entropy and credit risk in highly correlated markets. (2016). Gottschalk, Sylvia . In: Papers. RePEc:arx:papers:1604.07042.

Full description at Econpapers || Download paper

2016Replica approach to mean-variance portfolio optimization. (2016). Kondor, Imre ; Caccioli, Fabio . In: Papers. RePEc:arx:papers:1606.08679.

Full description at Econpapers || Download paper

2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

Full description at Econpapers || Download paper

2016Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander J ; Lok, Yen H. In: Papers. RePEc:arx:papers:1611.04851.

Full description at Econpapers || Download paper

2017Estimation of Risk Contributions with MCMC. (2017). Koike, Takaaki ; Minami, Mihoko . In: Papers. RePEc:arx:papers:1702.03098.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study. (2016). Dacorogna, Michel ; Rosnan, Chotard ; Marie, Kratz ; Michel, Dacorogna . In: ESSEC Working Papers. RePEc:ebg:essewp:dr-16018.

Full description at Econpapers || Download paper

2016Optimally chosen small portfolios are better than large ones. (2016). Cesarone, Francesco ; Tardella, Fabio ; Moretti, Jacopo . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00671.

Full description at Econpapers || Download paper

2016A quantile-boosting approach to forecasting gold returns. (2016). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:35:y:2016:i:c:p:38-55.

Full description at Econpapers || Download paper

2016Optimal insurance contract under VaR and CVaR constraints. (2016). Huang, Hung-Hsi ; Wang, Ching-Ping . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:110-127.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time. (2016). Xiong, Yan ; Li, Duan ; Gao, Jianjun . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:647-656.

Full description at Econpapers || Download paper

2016Portfolio optimization under loss aversion. (2016). Fulga, Cristinca . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:310-322.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Using Merton model for default prediction: An empirical assessment of selected alternatives. (2016). Galil, Koresh ; Afik, Zvika ; Arad, Ohad . In: Journal of Empirical Finance. RePEc:eee:empfin:v:35:y:2016:i:c:p:43-67.

Full description at Econpapers || Download paper

2016Parametric model risk and power plant valuation. (2016). Bannor, Karl ; Scherer, Matthias ; Nazarova, Anna ; Kiesel, Rudiger . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:423-434.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016The loss given default of a low-default portfolio with weak contagion. (2016). Yuan, Zhongyi ; Wei, LI. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:113-123.

Full description at Econpapers || Download paper

2016Risk capital allocation with autonomous subunits: The Lorenz set. (2016). Hougaard, Jens ; Smilgins, Aleksandrs . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:151-157.

Full description at Econpapers || Download paper

2016The role of a representative reinsurer in optimal reinsurance. (2016). Zhuang, Sheng Chao ; Boonen, Tim J ; Tan, Ken Seng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:196-204.

Full description at Econpapers || Download paper

2016Extremes for coherent risk measures. (2016). Asimit, Alexandru V ; Li, Jinzhu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:332-341.

Full description at Econpapers || Download paper

2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

Full description at Econpapers || Download paper

2016Unexpected shortfalls of Expected Shortfall: Extreme default profiles and regulatory arbitrage. (2016). Koch-Medina, Pablo ; Munari, Cosimo . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:62:y:2016:i:c:p:141-151.

Full description at Econpapers || Download paper

2016Trading book and credit risk: How fundamental is the Basel review?. (2016). Laurent, Jean-Paul ; Thomas, Stephane ; Sestier, Michael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:73:y:2016:i:c:p:211-223.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios. (2016). Mailhot, Melina ; Mesfioui, Mhamed . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:33-:d:78760.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Multinomial var backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander ; Lok, Yen . In: Working Papers. RePEc:hal:wpaper:hal-01424279.

Full description at Econpapers || Download paper

2016Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study. (2016). Chotard, Rosnan ; Kratz, Marie ; Dacorogna, Michel . In: Working Papers. RePEc:hal:wpaper:hal-01424285.

Full description at Econpapers || Download paper

2016The Currency Composition of Firms Balance Sheets and its Effect on Asset Value Correlations and Capital Requirements. (2016). Byström, Hans ; Bystrom, Hans . In: Working Papers. RePEc:hhs:lunewp:2016_001.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Time-Adaptive Probabilistic Forecasts of Electricity Spot Prices with Application to Risk Management.. (2016). Schulz, Franziska ; López Cabrera, Brenda. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-035.

Full description at Econpapers || Download paper

2016Horizon heterogeneity, institutional constraint and managerial myopia: a multi-frequency perspective on ELSS. (2016). Chakrabarty, Anindya ; Bandyopadhyay, Gautam ; De, Anupam . In: International Journal of Business Excellence. RePEc:ids:ijbexc:v:9:y:2016:i:1:p:18-47.

Full description at Econpapers || Download paper

2016Measuring Concentration Risk - A Partial Portfolio Approach. (2016). Gornicka, Lucyna ; Grippa, Pierpaolo . In: IMF Working Papers. RePEc:imf:imfwpa:16/158.

Full description at Econpapers || Download paper

2016Determining Hurdle Rate and Capital Allocation in Credit Portfolio Management. (2016). Ozdemir, Bogie ; Giesinger, Michael ; Cubukgil, Evren ; Miu, Peter . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:50:y:2016:i:2:d:10.1007_s10693-015-0221-2.

Full description at Econpapers || Download paper

2016Measuring sovereign credit risk using a structural model approach. (2016). Lee, Han-Hsing ; Wang, Kehluh ; Shih, Kuanyu . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:4:d:10.1007_s11156-015-0532-2.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Supply Chain Reliability and the Role of Individual Suppliers. (2016). Hagspiel, Simeon . In: EWI Working Papers. RePEc:ris:ewikln:2016_005.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Multiobjective optimization of credit capital allocation in financial institutions. (2016). Pasia, Joseph M ; Mizgier, Kamil J. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:24:y:2016:i:4:d:10.1007_s10100-015-0384-9.

Full description at Econpapers || Download paper

2016A representation of risk measures. (2016). amarante, massimiliano. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:39:y:2016:i:1:d:10.1007_s10203-016-0170-8.

Full description at Econpapers || Download paper

2016The link between the Shapley value and the beta factor. (2016). Ortmann, Karl Michael . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:39:y:2016:i:2:d:10.1007_s10203-016-0178-0.

Full description at Econpapers || Download paper

2016Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke. (2016). Brandtner, Mario . In: Management Review Quarterly. RePEc:spr:manrev:v:66:y:2016:i:2:d:10.1007_s11301-015-0116-1.

Full description at Econpapers || Download paper

2016Composite time-consistent multi-period risk measure and its application in optimal portfolio selection. (2016). Yan, Zhe ; Liu, Jia ; Chen, Zhiping . In: TOP: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:topjnl:v:24:y:2016:i:3:d:10.1007_s11750-015-0407-7.

Full description at Econpapers || Download paper

2017Bayesian Approach to PD Calibration and Stress-testing in Low Default Portfolios. (2017). Surzhko, Denis . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:2:f:7_2_6.

Full description at Econpapers || Download paper

2016.

Full description at Econpapers || Download paper

2016Bregman superquantiles. Estimation methods and applications. (2016). , Labopin-Richard . In: Dependence Modeling. RePEc:vrs:demode:v:4:y:2016:i:1:p:33:n:4.

Full description at Econpapers || Download paper

2016RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL. (2016). Fabozzi, Frank J ; Bianchi, Michele Leonardo ; Tassinari, Gian Luca . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:19:y:2016:i:04:p:1650027-01-1650027-28.

Full description at Econpapers || Download paper

Works by Dirk Tasche:

YearTitleTypeCited
2008Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle In: Papers.
[Full Text][Citation analysis]		paper26
2007Incorporating exchange rate risk into PDs and asset correlations In: Papers.
[Full Text][Citation analysis]		paper3
2010Estimating discriminatory power and PD curves when the number of defaults is small In: Papers.
[Full Text][Citation analysis]		paper0
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]		paper2
2012Bounds for rating override rates In: Papers.
[Full Text][Citation analysis]		paper0
2013The art of probability-of-default curve calibration In: Papers.
[Full Text][Citation analysis]		paper1
2015What is the best risk measure in practice? A comparison of standard measures In: Papers.
[Full Text][Citation analysis]		paper11
2015Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds In: Papers.
[Full Text][Citation analysis]		paper0
2002Calculating Value-at-Risk contributions in CreditRisk+ In: Papers.
[Full Text][Citation analysis]		paper2
2002A shortcut to sign Incremental Value-at-Risk for risk allocation In: Papers.
[Full Text][Citation analysis]		paper1
2002Remarks on the monotonicity of default probabilities In: Papers.
[Full Text][Citation analysis]		paper2
2002Credit Risk Contributions to Value-at-Risk and Expected Shortfall In: Papers.
[Full Text][Citation analysis]		paper6
2005Calculating credit risk capital charges with the one-factor model In: Papers.
[Full Text][Citation analysis]		paper20
2003A traffic lights approach to PD validation In: Papers.
[Full Text][Citation analysis]		paper4
2004Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk In: Papers.
[Full Text][Citation analysis]		paper0
2004The single risk factor approach to capital charges in case of correlated loss given default rates In: Papers.
[Full Text][Citation analysis]		paper12
2005Estimating Probabilities of Default for Low Default Portfolios In: Papers.
[Full Text][Citation analysis]		paper4
2001Conditional Expectation as Quantile Derivative In: Papers.
[Full Text][Citation analysis]		paper10
2006Measuring sectoral diversification in an asymptotic multi-factor framework In: Papers.
[Full Text][Citation analysis]		paper16
2006Validation of internal rating systems and PD estimates In: Papers.
[Full Text][Citation analysis]		paper9
2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk In: Economic Notes.
[Full Text][Citation analysis]		article70
2002On the coherence of expected shortfall In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article251
2002Expected shortfall and beyond In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article60
2014Exact Fit of Simple Finite Mixture Models In: Journal of Risk and Financial Management.
[Full Text][Citation analysis]		article0
2015The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions In: Journal of Risk and Financial Management.
[Full Text][Citation analysis]		article0
2009Capital allocation for credit portfolios with kernel estimators In: Quantitative Finance.
[Full Text][Citation analysis]		article5
2003Measuring the Discriminative Power of Rating Systems In: Discussion Paper Series 2: Banking and Financial Studies.
[Full Text][Citation analysis]		paper20

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 1st 2017. Contact: CitEc Team