Dirk Tasche : Citation Profile


Are you Dirk Tasche?

Government of Switzerland

10

H index

10

i10 index

550

Citations

RESEARCH PRODUCTION:

6

Articles

22

Papers

RESEARCH ACTIVITY:

   14 years (2001 - 2015). See details.
   Cites by year: 39
   Journals where Dirk Tasche has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 14 (2.48 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta409
   Updated: 2017-10-14    RAS profile: 2016-07-17    
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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 (15)

Gordy, Michael (10)

Kondor, Imre (10)

Herings, P. Jean-Jacques (9)

Acerbi, Carlo (9)

Kóczy, László (9)

Melenberg, Bertrand (9)

Guillen, Montserrat (6)

Xu, Mingxin (6)

cotter, john (6)

Tente, Natalia (6)

Cites to:

Acerbi, Carlo (15)

gourieroux, christian (15)

Scaillet, Olivier (12)

Gordy, Michael (5)

Artzner, Philippe (4)

Newson, Roger (3)

Kiefer, Nicholas (3)

Dacorogna, Michel (2)

Hallerbach, Winfried (2)

Shapiro, Alexander (2)

Vanduffel, Steven (2)

Main data


Where Dirk Tasche has published?


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

Working Papers Series with more than one paper published# docs
Papers / arXiv.org21

Recent works citing Dirk Tasche (2017 and 2016)


YearTitle of citing document
2017A CDS Option Miscellany. (2017). Martin, Richard J. In: Papers. RePEc:arx:papers:1201.0111.

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

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

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

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

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2017A composition between risk and deviation measures. (2017). Righi, Marcelo Brutti . In: Papers. RePEc:arx:papers:1511.06943.

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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.

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

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

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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.

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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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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.

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

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

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2017A risk measure that optimally balances capital determination errors. (2017). Righi, Marcelo Brutti . In: Papers. RePEc:arx:papers:1707.09829.

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

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

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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.

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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.

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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.

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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.

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

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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.

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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.

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

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2017Properties and comparison of risk capital allocation methods. (2017). Csóka, Péter ; Bátyi, Tamás ; 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.

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

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

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2017Comonotonic approximation to periodic investment problems under stochastic drift. (2017). Xu, Liang ; Liu, Qinjun ; Kou, Gang ; Gao, Chunyan . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:251-261.

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2017Robust and Pareto optimality of insurance contracts. (2017). Asimit, Alexandru V ; Kim, Eun-Seok ; Hu, Junlei ; Chun, KA ; Bignozzi, Valeria . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:720-732.

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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.

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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.

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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.

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2017Convex risk measures based on generalized lower deviation and their applications. (2017). Fu, Tianwen ; Liu, Jia ; Hui, Yongchang ; Zhuang, Xinkai . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:27-37.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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

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2017Hot money and cross-section of stock returns during the global financial crisis. (2017). Kim, Daehwan ; Iwasawa, Seiichiro . In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:8-22.

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

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

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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.

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

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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.

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

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

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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.

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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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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.

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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.

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

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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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.

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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.

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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.

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2016.

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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.

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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.

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Works by Dirk Tasche:


YearTitleTypeCited
2008Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle In: Papers.
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paper26
2007Incorporating exchange rate risk into PDs and asset correlations In: Papers.
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paper3
2010Estimating discriminatory power and PD curves when the number of defaults is small In: Papers.
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paper0
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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paper2
2012Bounds for rating override rates In: Papers.
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paper0
2013The art of probability-of-default curve calibration In: Papers.
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paper1
2015What is the best risk measure in practice? A comparison of standard measures In: Papers.
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paper16
2015Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds In: Papers.
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paper0
2002Calculating Value-at-Risk contributions in CreditRisk+ In: Papers.
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paper2
2002A shortcut to sign Incremental Value-at-Risk for risk allocation In: Papers.
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paper1
2002Remarks on the monotonicity of default probabilities In: Papers.
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paper2
2002Credit Risk Contributions to Value-at-Risk and Expected Shortfall In: Papers.
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paper6
2005Calculating credit risk capital charges with the one-factor model In: Papers.
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paper20
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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paper12
2005Estimating Probabilities of Default for Low Default Portfolios In: Papers.
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paper4
2001Conditional Expectation as Quantile Derivative In: Papers.
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paper10
2006Measuring sectoral diversification in an asymptotic multi-factor framework In: Papers.
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paper16
2006Validation of internal rating systems and PD estimates In: Papers.
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paper9
2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk In: Economic Notes.
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article70
2002On the coherence of expected shortfall In: Journal of Banking & Finance.
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article256
2002Expected shortfall and beyond In: Journal of Banking & Finance.
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article63
2014Exact Fit of Simple Finite Mixture Models In: Journal of Risk and Financial Management.
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article0
2015The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions In: Journal of Risk and Financial Management.
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article0
2009Capital allocation for credit portfolios with kernel estimators In: Quantitative Finance.
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article5
2003Measuring the Discriminative Power of Rating Systems In: Discussion Paper Series 2: Banking and Financial Studies.
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paper21

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