Dirk Tasche : Citation Profile

North-West University

13

H index

14

i10 index

1409

Citations

RESEARCH PRODUCTION:

15

Articles

24

Papers

2

Chapters

RESEARCH ACTIVITY:

   21 years (2001 - 2022). See details.
   Cites by year: 67
   Journals where Dirk Tasche has often published
   Relations with other researchers
   Recent citing documents: 76.    Total self citations: 18 (1.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta409
   Updated: 2026-02-21    RAS profile: 2026-01-15    
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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)

Acerbi, Carlo (10)

Gordy, Michael (10)

Mora-Valencia, Andrés (10)

Lok, Yen (9)

Kóczy, László (9)

Melenberg, Bertrand (9)

Herings, P. Jean-Jacques (9)

Cites to:

gourieroux, christian (20)

Scaillet, Olivier (20)

Acerbi, Carlo (20)

Gordy, Michael (5)

Engelmann, Bernd (5)

Artzner, Philippe (4)

Kiefer, Nicholas (3)

Newson, Roger (3)

Shapiro, Alexander (3)

Diebold, Francis (2)

Vanduffel, Steven (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 (2026 and 2025)

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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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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2026Hedging 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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2024Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701.

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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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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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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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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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2026On 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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2025Informative Risk Measures in the Banking Industry: A Proposal based on the Magnitude-Propensity Approach. (2025). Bonollo, Michele ; Grasselli, Martino ; Mori, Gianmarco ; Oz, Havva Nilsu. In: Papers. RePEc:arx:papers:2511.21556.

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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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2025Boosting credit risk models. (2025). Baesens, Bart ; Smedts, Kristien. In: The British Accounting Review. RePEc:eee:bracre:v:57:y:2025:i:4:s0890838923000884.

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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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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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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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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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2025Name concentration risk in Multilateral Development Banks’ portfolios: Measurement and capital adequacy implications. (2025). Lütkebohmert, Eva ; Shen, Hongyi ; Sester, Julian ; Ltkebohmert, Eva. In: Global Finance Journal. RePEc:eee:glofin:v:67:y:2025:i:c:s104402832500081x.

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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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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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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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2025Forecasting and backtesting gradient allocations of expected shortfall. (2025). Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:124:y:2025:i:c:s0167668725000770.

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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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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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2025Central bank announcements and monitoring portfolio risks. (2025). Wang, Shu ; Herwartz, Helmut ; Duy, Huynh Tuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025005908.

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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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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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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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2025A 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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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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2024Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets. (2024). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:121214.

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2025Granularity Shock: A Small Perturbation Two-Factor Model. (2025). Osadchiy, Maksim. In: MPRA Paper. RePEc:pra:mprapa:124190.

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2025Granularity Shock: A Small Perturbation Two-Factor Model. (2025). Osadchiy, Maksim. In: MPRA Paper. RePEc:pra:mprapa:124745.

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2025Granularity Shock: A Small Perturbation Two-Factor Model. (2025). Osadchiy, Maksim. In: MPRA Paper. RePEc:pra:mprapa:125027.

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2025Dynamic Conditional Correlations and Risk Spread between International Financial Markets: A DCC-Garch Analysis. (2025). Albu, Lucian Liviu ; Dima, Tefana Maria ; Ioan, Roxana ; Ionacui, Anca Saraolu ; Siminica, Marian Ilie. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2025:i:1:p:5-22.

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2025Mixed frequency data and portfolio selection: A novel approach integrating DEA with mixed frequency data sources. (2025). Wang, Liukai ; Xiong, YU ; Liang, Shuhao. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:3:d:10.1007_s10479-025-06529-4.

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2025A return-diversification approach to portfolio selection. (2025). Cesarone, Francesco ; Giacometti, Rosella ; Martino, Manuel L ; Tardella, Fabio. In: Computational Management Science. RePEc:spr:comgts:v:22:y:2025:i:2:d:10.1007_s10287-025-00538-1.

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2025An automated adaptive trading system for enhanced performance of emerging market portfolios. (2025). Tudor, Cristiana ; Sova, Robert. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00754-3.

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2025Artificial intelligence and clean/dirty energy markets: tail-based pairwise connectedness and portfolio implications. (2025). Raggad, Bechir ; Bouri, Elie. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00451-8.

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2025Impact of ESG Rating on Portfolio Diversification Benefits Among US Fintech Stocks and Cryptocurrencies. (2025). Boujelbne, Mouna ; Gharbi, Oumayma. In: SN Operations Research Forum. RePEc:spr:snopef:v:6:y:2025:i:3:d:10.1007_s43069-025-00530-0.

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2025Tail expectile-VaR estimation in the semiparametric Generalized Pareto model. (2025). STUPFLER, Gilles ; Nemouchi, Boutheina ; Daouia, Abdelaati ; Abbas, Yasser. In: TSE Working Papers. RePEc:tse:wpaper:130105.

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2025A portfolio diversification measure in the unit interval: A coherent and practical approach. (2025). Nolascojauregui, Oralia ; Quezadatellez, Luis Alberto ; Diazhernandez, Adan ; Flores, Yuri Salazar. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2771-2785.

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Works by Dirk Tasche:

YearTitleTypeCited
2008Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle In: Papers.
[Full Text][Citation analysis]		paper70
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]		paper9
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: 9		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]		paper8
The art of probability-of-default curve calibration.() In: Journal of Credit Risk.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2015What is the best risk measure in practice? A comparison of standard measures In: Papers.
[Full Text][Citation analysis]		paper147
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: 147		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
2026Recalibrating 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]		paper34
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: 34		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.
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2015THE NUMERICS OF PREMIUM BONDS In: Journal of Gambling Business and Economics.
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2002On the coherence of expected shortfall In: Journal of Banking & Finance.
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2002Expected shortfall and beyond In: Journal of Banking & Finance.
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2014Exact Fit of Simple Finite Mixture Models In: JRFM.
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2015The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions In: JRFM.
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2003Unbiasedness in Least Quantile Regression In: Springer Books.
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2009Capital allocation for credit portfolios with kernel estimators In: Quantitative Finance.
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2003Measuring the Discriminative Power of Rating Systems In: Discussion Paper Series 2: Banking and Financial Studies.
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