Dirk Tasche : Citation Profile

Are you Dirk Tasche?

Government of Switzerland

12

H index

14

i10 index

1304

Citations

RESEARCH PRODUCTION:

9

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (2001 - 2022). See details.
   Cites by year: 62
   Journals where Dirk Tasche has often published
   Relations with other researchers
   Recent citing documents: 141.    Total self citations: 18 (1.36 %)

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   Permalink: http://citec.repec.org/pta409
   Updated: 2024-12-03    RAS profile: 2023-05-10    
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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 (21)

Righi, Marcelo (19)

Kondor, Imre (12)

Dacorogna, Michel (11)

Mora-Valencia, Andrés (10)

Gordy, Michael (10)

Acerbi, Carlo (10)

Melenberg, Bertrand (9)

Kóczy, László (9)

Herings, P. Jean-Jacques (9)

Lok, Yen (9)

Cites to:

Scaillet, Olivier (20)

gourieroux, christian (20)

Acerbi, Carlo (20)

Gordy, Michael (5)

Engelmann, Bernd (5)

Artzner, Philippe (4)

Newson, Roger (3)

Kiefer, Nicholas (3)

Shapiro, Alexander (3)

Dacorogna, Michel (2)

Schuermann, Til (2)

Main data

Where Dirk Tasche has published?

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

Working Papers Series with more than one paper published# docs
Papers / arXiv.org22

Recent works citing Dirk Tasche (2024 and 2023)

YearTitle of citing document
2023A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2024Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2023A discussion of stochastic dominance and mean-CVaR optimal portfolio problems based on mean-variance-mixture models. (2022). Sayit, Hasanjan. In: Papers. RePEc:arx:papers:2202.02488.

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2023Calibrating distribution models from PELVE. (2022). Wang, Ruodu ; Lin, Liyuan ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2204.08882.

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2024Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2023Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. (2022). 'Alvaro Cartea, ; Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2206.14666.

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2023Persuading Risk-Conscious Agents: A Geometric Approach. (2022). Lingenbrink, David ; Iyer, Krishnamurthy ; Anunrojwong, Jerry. In: Papers. RePEc:arx:papers:2208.03758.

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2023Vine Copula based portfolio level conditional risk measure forecasting. (2022). Czado, Claudia ; Bax, Karoline ; Sommer, Emanuel. In: Papers. RePEc:arx:papers:2208.09156.

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2023A potential mechanism of gas supply-security cooperation based on a game-theoretic model. (2022). Csercsik, D'Avid. In: Papers. RePEc:arx:papers:2209.05089.

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2024Learning Value-at-Risk and Expected Shortfall. (2022). Saadeddine, B ; Nguyen, Hoang-Dung ; Gobet, E ; Cr, S ; Barrera, D. In: Papers. RePEc:arx:papers:2209.06476.

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2023Distortion risk measures in random environments: construction and axiomatic characterization. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo. In: Papers. RePEc:arx:papers:2211.00520.

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2023Stochastic Algorithms for Advanced Risk Budgeting. (2022). Gu, Olivier ; Fermanian, Jean-David ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2211.07212.

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2024The limitations of comonotonic additive risk measures: a literature review. (2022). de Oliveira, Eduardo ; Righi, Marcelo Brutti ; Santos, Samuel Solgon. In: Papers. RePEc:arx:papers:2212.13864.

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2023Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2301.03517.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654.

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2023Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tasche. (2023). Grigutis, Andrius. In: Papers. RePEc:arx:papers:2303.06148.

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2024Uniform Pessimistic Risk and Optimal Portfolio. (2023). Jeon, Jong-June ; Hong, Sungchul. In: Papers. RePEc:arx:papers:2303.07158.

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2024A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2304.01207.

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2023Hedging Valuation Adjustment for Callable Claims. (2023). Essaket, Dounia ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2304.02479.

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2023Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty. (2023). Tian, Dejian ; Li, Weiwei. In: Papers. RePEc:arx:papers:2304.04396.

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2023An elementary proof of the dual representation of Expected Shortfall. (2023). Munari, Cosimo ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2306.14506.

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2023Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint. (2023). Yang, Dongfang ; Xu, Zuo Quan ; Mi, Hui. In: Papers. RePEc:arx:papers:2309.01936.

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2023Intergenerational Equity in Models of Climate Change Mitigation: Stochastic Interest Rates introduce Adverse Effects, but (Non-linear) Funding Costs can Improve Intergenerational Equity. (2023). Quante, Lennart ; Fries, Christian. In: Papers. RePEc:arx:papers:2309.16186.

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2024Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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

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2024Elicitability and identifiability of tail risk measures. (2024). Wei, Linxiao ; Wang, Ruodu ; Liu, Fangda ; Fissler, Tobias. 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). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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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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2023On the General Deviation Measure and the Gini coefficient. (2023). Nisani, Doron. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:599-610.

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2023Capital requirements and claims recovery: A new perspective on solvency regulation. (2023). Wilhelmy, Lutz ; Weber, Stefan ; Munari, Cosimo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:329-380.

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2023CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE-TIME COHERENT RISK. (2009). Cherny, Alexander S.. In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:1:p:13-40.

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2023Preference robust distortion risk measure and its application. (2023). Xu, Huifu ; Wang, Wei. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:389-434.

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2023Estimation of Probabilities for Ordered Sets and Application to Calibration of Rating Models. (2023). Delfau, Emiliano ; Serenelli, Gustavo F. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:849.

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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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2023Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. (2023). Vrins, Frederic ; Barbagli, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335.

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2023A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177.

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2023GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets. (2023). Li, Min-Jian ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000335.

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2024Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk. (2024). Muller, Fernanda Maria ; Righi, Marcelo Brutti ; 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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2023PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:353-370.

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

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2023Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data. (2023). Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:989-997.

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2023Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347.

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2023Weather rebate contracts for different risk attitudes of supply chain members. (2023). Fang, L ; Wahab, M. I. M., ; Sarkar, P. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:1:p:139-153.

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2023Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50.

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2023The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395.

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2023A novel downside beta and expected stock returns. (2023). Liu, Jinjing. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004057.

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2023Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment. (2023). Fan, Caiyun ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300368x.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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2024Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs. (2024). Sensoy, Ahmet ; Pradhan, H K ; Banerjee, Ameet Kumar ; Goodell, John W. 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 ; Nakata, Keiichi ; Qiu, Zhiguo. 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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2023Coherent measure of portfolio risk. (2023). Ardakani, Omid. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005949.

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2023A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x.

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2023Inf-convolution and optimal allocations for mixed-VaRs. (2023). Hu, Taizhong ; Zou, Zhenfeng ; Xia, Zichao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:156-164.

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2023Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:185-197.

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2024Stressing dynamic loss models. (2024). Jaimungal, Sebastian ; Pesenti, Silvana M ; 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 ; Kwok, Yue Kuen ; Huang, Zhenzhen. 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). Petrella, Lea ; Merlo, Luca ; Bignozzi, Valeria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:44-50.

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2023The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall: a Complete Realized Exponential GARCH-X approach. (2023). Naimoli, Antonio. In: International Economics. RePEc:eee:inteco:v:176:y:2023:i:c:s2110701723000719.

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2023Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803.

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2023Short-selling threats and bank risk-taking: Evidence from the financial crisis. (2023). Nguyen, Hong Thoa ; Lin, Chih-Yung ; Hasan, Iftekhar ; Bui, Dien Giau. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:150:y:2023:i:c:s0378426623000596.

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2023Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic. (2023). Stankov, Petar ; Mensi, Walid ; Enilov, Martin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000642.

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2023Estimation of value at risk for copper. (2023). Papathanasiou, Spyros ; Konstantatos, Christoforos ; Gkillas, Konstantinos ; Wohar, Mark. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000417.

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2023An axiomatic approach to default risk and model uncertainty in rating systems. (2023). Streicher, Jan ; Nendel, Max. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:109:y:2023:i:c:s0304406823000897.

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

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2023Is there a risk premium? Evidence from thirteen measures. (2023). Ramos, Henrique Pinto ; Muller, Fernanda Maria ; Fracasso, Lais Martins ; Righi, Marcelo Brutti. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:182-199.

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2023Evaluation of the operational quality of Chinas grain futures market based on the comprehensive information weighting method. (2023). Li, Sijie ; Guo, Wenjing ; Lin, Shengyao ; Xing, Mengyue. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:467-482.

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2023Less disagreement, better forecasts: adjusted risk measures in the energy futures market. (2023). Xue, Xiaohan ; Gong, Yujing ; Zhang, Ning. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118451.

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2023.

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2023Dependent Metaverse Risk Forecasts with Heteroskedastic Models and Ensemble Learning. (2023). Hakim, Arief ; Tjahjono, Venansius ; Syuhada, Khreshna. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:2:p:32-:d:1054142.

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2023A Forward-Looking IFRS 9 Methodology, Focussing on the Incorporation of Macroeconomic and Macroprudential Information into Expected Credit Loss Calculation. (2023). Verster, Tanja ; Tomar, Vibhu ; Raubenheimer, Helgard ; Raletjene, Matheba ; Marimo, Mercy ; Hurter, Jacques ; Breed, Douw Gerbrand. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:3:p:59-:d:1096881.

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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]		paper67
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]		paper7
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
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]		paper6
2015What is the best risk measure in practice? A comparison of standard measures In: Papers.
[Full Text][Citation analysis]		paper139
2015Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds In: Papers.
[Full Text][Citation analysis]		paper0
2022Proving prediction prudence 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]		paper30
2003A traffic lights approach to PD validation In: Papers.
[Full Text][Citation analysis]		paper12
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]		paper26
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]		paper16
2006Measuring sectoral diversification in an asymptotic multi-factor framework In: Papers.
[Full Text][Citation analysis]		paper26
2006Validation of internal rating systems and PD estimates In: Papers.
[Full Text][Citation analysis]		paper14
2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk In: Economic Notes.
[Full Text][Citation analysis]		article197
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]		article566
2002Expected shortfall and beyond In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article116
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]		article12
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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