Pieter Klaassen

UBS AG

UBS

Postfach

Zurich, 8076

Switzerland

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 11,124

SSRN RANKINGS

Top 11,124

in Total Papers Downloads

5,011

SSRN CITATIONS
Rank 30,755

SSRN RANKINGS

Top 30,755

in Total Papers Citations

14

CROSSREF CITATIONS

13

Scholarly Papers (9)

Actions:
Email selected abstracts
1.

Analyzing Bank Performance: Linking ROE, ROA and RAROC

Number of pages: 10 Posted: 01 Feb 2014 Last Revised: 28 Nov 2015
Pieter Klaassen and Idzard van Eeghen
UBS AG and Royal Bank of Scotland (RBS)
Downloads 1,945 (9,308)
Citation 1

Abstract:

Loading...

performance measurement, risk-adjusted performance, bank performance

2.

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Number of pages: 52 Posted: 06 Nov 2000
Joost Driessen, Pieter Klaassen and Bertrand Melenberg
Tilburg University - Tilburg University School of Economics and Management, UBS AG and Tilburg University - Center for Economic Research (CentER)
Downloads 1,246 (18,723)
Citation 15

Abstract:

Loading...

Term Structure Models; Interest Rate Derivatives; Option Pricing; Hedging

3.

Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation

EFA 2003 Annual Conference Paper No. 211; Vrije University Finance Working Paper
Number of pages: 31 Posted: 27 Jul 2003
Siem Jan Koopman, Andre Lucas and Pieter Klaassen
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and UBS AG
Downloads 580 (54,536)
Citation 13

Abstract:

Loading...

credit risk, pro-cyclicality, capital requirements, dynamic models, common factors, credit cycles, time varying parameters

4.

Analyzing Bank Performance — Linking RoE, RoA and RAROC: U.S. Commercial Banks: 1992-2014

Journal of Financial Perspectives, Vol. 3, No. 2, 2015
Number of pages: 26 Posted: 07 Dec 2017
Pieter Klaassen and Idzard van Eeghen
UBS AG and Royal Bank of Scotland (RBS)
Downloads 406 (84,670)

Abstract:

Loading...

5.

Discretized Reality and Spurious Profits in Stochastic Programming Models for Asset/Liability Management

Number of pages: 30 Posted: 18 Apr 1997
Pieter Klaassen
UBS AG
Downloads 354 (98,885)

Abstract:

Loading...

6.

Discrete Versus Continuous State Switching Models for Portfolio Credit Risk

Tinbergen Institute Discussion Paper No. 2003-075/2
Number of pages: 14 Posted: 28 Oct 2003
Pieter Klaassen and Andre Lucas
UBS AG and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 238 (150,276)
Citation 2

Abstract:

Loading...

credit risk, regime switching, latent variable models, factor models

7.

Bank Performance Optimization Under Regulatory and Internal Constraints: Impact on Shareholder Value, Credit Supply and Risk Profile

Number of pages: 16 Posted: 29 Nov 2015
Pieter Klaassen and Idzard van Eeghen
UBS AG and Royal Bank of Scotland (RBS)
Downloads 153 (223,685)

Abstract:

Loading...

Shareholder value, banks, regulation, equity allocation

8.

Bank Capital Allocation and Performance Management under Multiple Capital Constraints

Number of pages: 15 Posted: 30 Nov 2017
Pieter Klaassen and Idzard van Eeghen
UBS AG and Royal Bank of Scotland (RBS)
Downloads 89 (330,935)
Citation 2

Abstract:

Loading...

Capital allocation, performance measurement, performance management, cost of capital, CAPM, regulatory capital, economic capital

Abstract:

Loading...