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Details about Nikola Tarashev

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Workplace:Bank for International Settlements (BIS), (more information at EDIRC)

Access statistics for papers by Nikola Tarashev.

Last updated 2021-05-19. Update your information in the RePEc Author Service.

Short-id: pta487


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Working Papers

2021

  1. Asset managers, market liquidity and bank regulation
    BIS Working Papers, Bank for International Settlements Downloads

2020

  1. Buffering Covid-19 losses - the role of prudential policy
    BIS Bulletins, Bank for International Settlements Downloads
  2. Effects of Covid-19 on the banking sector: the market's assessment
    BIS Bulletins, Bank for International Settlements Downloads View citations (8)
  3. Forecasting expected and unexpected losses
    BIS Working Papers, Bank for International Settlements Downloads
    Also in Research Discussion Papers, Bank of Finland (2020) Downloads
  4. Post-crisis international financial regulatory reforms: a primer
    BIS Working Papers, Bank for International Settlements Downloads

2017

  1. Bank business models: popularity and performance
    BIS Working Papers, Bank for International Settlements Downloads View citations (22)
  2. Bank capital allocation under multiple constraints
    BIS Working Papers, Bank for International Settlements Downloads View citations (7)
    See also Journal Article in Journal of Financial Intermediation (2020)

2016

  1. Bank standalone credit ratings
    BIS Working Papers, Bank for International Settlements Downloads View citations (1)
    See also Journal Article in International Journal of Central Banking (2020)
  2. When pegging ties your hands
    BIS Working Papers, Bank for International Settlements Downloads

2013

  1. Financial Stability Paper No 21: How could macroprudential policy affect financial system resilience and credit? Lessons from the literature
    Bank of England Financial Stability Papers, Bank of England Downloads View citations (1)

2012

  1. Systematic monetary policy and the forward premium puzzle
    BIS Working Papers, Bank for International Settlements Downloads View citations (1)

2011

  1. Measuring the systemic importance of interconnected banks
    BIS Working Papers, Bank for International Settlements Downloads View citations (43)
    See also Journal Article in Journal of Financial Intermediation (2013)

2010

  1. Attributing systemic risk to individual institutions
    BIS Working Papers, Bank for International Settlements Downloads View citations (103)

2009

  1. Measuring portfolio credit risk correctly: why parameter uncertainty matters
    BIS Working Papers, Bank for International Settlements Downloads
    See also Journal Article in Journal of Banking & Finance (2010)

2008

  1. Global monitoring with the BIS international banking statistics
    BIS Working Papers, Bank for International Settlements Downloads View citations (18)
    See also Chapter (2007)
  2. Speculative attacks, Private Signals and Intertemporal Trade-offs
    BIS Working Papers, Bank for International Settlements Downloads
  3. The pricing of correlated default risk: evidence from the credit derivatives market
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (7)

2007

  1. Modelling and calibration errors in measures of portfolio credit risk
    BIS Working Papers, Bank for International Settlements Downloads View citations (7)

2006

  1. The pricing of portfolio credit risk
    BIS Working Papers, Bank for International Settlements Downloads View citations (6)

2005

  1. An empirical evaluation of structural credit risk models
    BIS Working Papers, Bank for International Settlements Downloads View citations (7)
    See also Journal Article in International Journal of Central Banking (2008)

2004

  1. Are speculative attacks triggered by sunspots? A new test
    BIS Working Papers, Bank for International Settlements Downloads

2003

  1. Currency Crises and the Informational Role of Interest Rates
    BIS Working Papers, Bank for International Settlements Downloads View citations (9)

Journal Articles

2020

  1. Bank Standalone Credit Ratings
    International Journal of Central Banking, 2020, 16, (4), 101-144 Downloads
    See also Working Paper (2016)
  2. Bank capital allocation under multiple constraints
    Journal of Financial Intermediation, 2020, 44, (C) Downloads
    See also Working Paper (2017)

2019

  1. When pegging is a commitment device: Revisiting conventional wisdom about currency crises
    Journal of International Economics, 2019, 118, (C), 233-247 Downloads

2016

  1. Risk Attribution Using the Shapley Value: Methodology and Policy Applications
    Review of Finance, 2016, 20, (3), 1189-1213 Downloads View citations (9)

2014

  1. Bank business models
    BIS Quarterly Review, 2014 Downloads View citations (29)
  2. Securitisations: tranching concentrates uncertainty
    BIS Quarterly Review, 2014 Downloads View citations (8)

2013

  1. Looking at the tail: price-based measures of systemic importance
    BIS Quarterly Review, 2013 Downloads View citations (3)
  2. Measuring the systemic importance of interconnected banks
    Journal of Financial Intermediation, 2013, 22, (4), 586-607 Downloads View citations (82)
    See also Working Paper (2011)

2011

  1. Rating methodologies for banks
    BIS Quarterly Review, 2011 Downloads View citations (20)
  2. Systemic importance: some simple indicators
    BIS Quarterly Review, 2011 Downloads View citations (57)

2010

  1. Measuring portfolio credit risk correctly: Why parameter uncertainty matters
    Journal of Banking & Finance, 2010, 34, (9), 2065-2076 Downloads View citations (11)
    See also Working Paper (2009)

2009

  1. The systemic importance of financial institutions
    BIS Quarterly Review, 2009 Downloads View citations (65)

2008

  1. An Empirical Evaluation of Structural Credit-Risk Models
    International Journal of Central Banking, 2008, 4, (1), 1-53 Downloads View citations (4)
    See also Working Paper (2005)
  2. Bank health and lending to emerging markets
    BIS Quarterly Review, 2008 Downloads View citations (52)
  3. Credit fundamentals, ratings and value-at-risk: CDOs versus corporate exposures
    BIS Quarterly Review, 2008 Downloads View citations (26)
  4. Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model
    International Journal of Central Banking, 2008, 4, (2), 129-173 Downloads View citations (18)

2007

  1. International banking with the euro
    BIS Quarterly Review, 2007 Downloads View citations (3)
  2. Measuring portfolio credit risk: modelling versus calibration errors
    BIS Quarterly Review, 2007 Downloads
  3. Speculative Attacks and the Information Role of the Interest Rate
    Journal of the European Economic Association, 2007, 5, (1), 1-36 Downloads View citations (16)

2006

  1. Risk premia across asset markets: information from option prices
    BIS Quarterly Review, 2006 Downloads View citations (2)
  2. Tracking international bank flows
    BIS Quarterly Review, 2006 Downloads View citations (24)

2005

  1. Structural models of default: lessons from firm-level data
    BIS Quarterly Review, 2005 Downloads View citations (4)

2003

  1. Investors' attitude towards risk: what can we learn from options?
    BIS Quarterly Review, 2003 Downloads View citations (8)

Chapters

2007

  1. Global monitoring with the BIS international banking statistics
    A chapter in Research on global financial stability: the use of BIS international financial statistics, 2007, vol. 29, pp 176-204 Downloads View citations (1)
    See also Working Paper (2008)
 
Page updated 2021-06-22