Pieter Klaassen

UBS AG

UBS

Postfach

Zurich, 8076

Switzerland

SCHOLARLY PAPERS

9

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14

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13

Scholarly Papers (9)

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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 2,253 (9,457)
Citation 1

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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 1,251 (23,737)
Citation 15

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

3.

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 925 (36,636)

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4.

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 and UBS AG
Downloads 585 (67,108)
Citation 13

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

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 358 (120,140)

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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
Downloads 245 (177,675)
Citation 2

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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 158 (263,319)

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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 136 (296,651)
Citation 2

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

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