Details about Nikola Tarashev

Access statistics for papers by Nikola Tarashev.

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

Short-id: pta487

Working Papers

2021

1. Asset managers, market liquidity and bank regulation
   BIS Working Papers, Bank for International Settlements View citations (2)

2020

2. Buffering Covid-19 losses - the role of prudential policy
   BIS Bulletins, Bank for International Settlements
3. Effects of Covid-19 on the banking sector: the market's assessment
   BIS Bulletins, Bank for International Settlements View citations (10)
4. Forecasting expected and unexpected losses
   BIS Working Papers, Bank for International Settlements View citations (1)
5. Post-crisis international financial regulatory reforms: a primer
   BIS Working Papers, Bank for International Settlements

2017

6. Bank business models: popularity and performance
   BIS Working Papers, Bank for International Settlements View citations (43)
7. Bank capital allocation under multiple constraints
   BIS Working Papers, Bank for International Settlements View citations (9)
   See also Journal Article Bank capital allocation under multiple constraints, Journal of Financial Intermediation, Elsevier (2020) View citations (4) (2020)

2016

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

2013

10. 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 View citations (22)

2012

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

2011

12. Measuring the systemic importance of interconnected banks
    BIS Working Papers, Bank for International Settlements View citations (57)
    See also Journal Article Measuring the systemic importance of interconnected banks, Journal of Financial Intermediation, Elsevier (2013) View citations (114) (2013)

2010

13. Attributing systemic risk to individual institutions
    BIS Working Papers, Bank for International Settlements View citations (152)

2009

14. Measuring portfolio credit risk correctly: why parameter uncertainty matters
    BIS Working Papers, Bank for International Settlements View citations (4)
    See also Journal Article Measuring portfolio credit risk correctly: Why parameter uncertainty matters, Journal of Banking & Finance, Elsevier (2010) View citations (15) (2010)

2008

15. Global monitoring with the BIS international banking statistics
    BIS Working Papers, Bank for International Settlements View citations (30)
    See also Chapter Global monitoring with the BIS international banking statistics, CGFS Papers chapters, Bank for International Settlements (2007) View citations (4) (2007)
16. Speculative attacks, Private Signals and Intertemporal Trade-offs
    BIS Working Papers, Bank for International Settlements
17. The pricing of correlated default risk: evidence from the credit derivatives market
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (13)

2007

18. Modelling and calibration errors in measures of portfolio credit risk
    BIS Working Papers, Bank for International Settlements View citations (10)

2006

19. The pricing of portfolio credit risk
    BIS Working Papers, Bank for International Settlements View citations (12)

2005

20. An empirical evaluation of structural credit risk models
    BIS Working Papers, Bank for International Settlements View citations (9)
    See also Journal Article An Empirical Evaluation of Structural Credit-Risk Models, International Journal of Central Banking, International Journal of Central Banking (2008) View citations (6) (2008)

2004

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

2003

22. Currency Crises and the Informational Role of Interest Rates
    BIS Working Papers, Bank for International Settlements View citations (13)

Journal Articles

2020

1. Bank Standalone Credit Ratings
   International Journal of Central Banking, 2020, 16, (4), 101-144
   See also Working Paper Bank standalone credit ratings, BIS Working Papers (2016) View citations (1) (2016)
2. Bank capital allocation under multiple constraints
   Journal of Financial Intermediation, 2020, 44, (C) View citations (4)
   See also Working Paper Bank capital allocation under multiple constraints, BIS Working Papers (2017) View citations (9) (2017)

2019

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

2016

4. Risk Attribution Using the Shapley Value: Methodology and Policy Applications
   Review of Finance, 2016, 20, (3), 1189-1213 View citations (18)

2014

5. Bank business models
   BIS Quarterly Review, 2014 View citations (67)
6. Securitisations: tranching concentrates uncertainty
   BIS Quarterly Review, 2014 View citations (6)

2013

7. Looking at the tail: price-based measures of systemic importance
   BIS Quarterly Review, 2013 View citations (4)
8. Measuring the systemic importance of interconnected banks
   Journal of Financial Intermediation, 2013, 22, (4), 586-607 View citations (114)
   See also Working Paper Measuring the systemic importance of interconnected banks, BIS Working Papers (2011) View citations (57) (2011)

2011

9. Rating methodologies for banks
   BIS Quarterly Review, 2011 View citations (24)
10. Systemic importance: some simple indicators
    BIS Quarterly Review, 2011 View citations (79)

2010

11. Measuring portfolio credit risk correctly: Why parameter uncertainty matters
    Journal of Banking & Finance, 2010, 34, (9), 2065-2076 View citations (15)
    See also Working Paper Measuring portfolio credit risk correctly: why parameter uncertainty matters, BIS Working Papers (2009) View citations (4) (2009)

2009

12. The systemic importance of financial institutions
    BIS Quarterly Review, 2009 View citations (89)

2008

13. An Empirical Evaluation of Structural Credit-Risk Models
    International Journal of Central Banking, 2008, 4, (1), 1-53 View citations (6)
    See also Working Paper An empirical evaluation of structural credit risk models, BIS Working Papers (2005) View citations (9) (2005)
14. Bank health and lending to emerging markets
    BIS Quarterly Review, 2008 View citations (75)
15. Credit fundamentals, ratings and value-at-risk: CDOs versus corporate exposures
    BIS Quarterly Review, 2008 View citations (28)
16. 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 View citations (28)

2007

17. International banking with the euro
    BIS Quarterly Review, 2007 View citations (5)
18. Measuring portfolio credit risk: modelling versus calibration errors
    BIS Quarterly Review, 2007
19. Speculative Attacks and the Information Role of the Interest Rate
    Journal of the European Economic Association, 2007, 5, (1), 1-36 View citations (21)

2006

20. Risk premia across asset markets: information from option prices
    BIS Quarterly Review, 2006 View citations (2)
21. Tracking international bank flows
    BIS Quarterly Review, 2006 View citations (26)

2005

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

2003

23. Investors' attitude towards risk: what can we learn from options?
    BIS Quarterly Review, 2003 View citations (19)

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 View citations (4)
   See also Working Paper Global monitoring with the BIS international banking statistics, Bank for International Settlements (2008) View citations (30) (2008)