Nikola A. Tarashev

Bank for International Settlements (BIS) - Monetary and Economic Department

Centralbahnplatz 2

CH-4002 Basel

Switzerland

  • Bank for International Settlements (BIS) - Monetary and Economic Department

SCHOLARLY PAPERS

35

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329

Scholarly Papers (35)

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1.

The Systemic Importance of Financial Institutions

BIS Quarterly Review, September 2009
Number of pages: 13 Posted: 01 Aug 2012
Nikola A. Tarashev, Claudio E. V. Borio and Kostas Tsatsaronis
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1,917 (15,129)
Citation 1

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2.

Attributing Systemic Risk to Individual Institutions

BIS Working Paper No. 308
Number of pages: 29 Posted: 28 Jun 2010 Last Revised: 03 Nov 2013
Nikola A. Tarashev, Claudio E. V. Borio and Kostas Tsatsaronis
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1,674 (18,678)
Citation 125

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Systemic Importance, Macroprudential Approach, Shapley Value

3.

Bank Business Models

BIS Quarterly Review December 2014
Number of pages: 11 Posted: 11 Dec 2014
Rungporn Roengpitya, Nikola A. Tarashev and Kostas Tsatsaronis
Bank of Thailand, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1,109 (34,355)
Citation 1

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4.

An Empirical Evaluation of Structural Credit Risk Models

BIS Working Paper No. 179
Number of pages: 48 Posted: 20 Sep 2007
Nikola A. Tarashev
Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 890 (46,889)
Citation 23

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Probability of default, Credit risk models, Basel II, Macroeconomic factors of credit risk

5.

Rating Methodologies for Banks

BIS Quarterly Review, June 2011
Number of pages: 14 Posted: 31 Aug 2012
Frank Packer and Nikola A. Tarashev
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 838 (50,901)
Citation 3

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6.

The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market

Downloads 824 (52,135)

The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market

Number of pages: 36 Posted: 02 Mar 2007
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 824 (51,414)
Citation 6

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Portfolio credit risk, CDS index, Tranche spread, Correlation risk premium, Physical correlation, Risk-neutral correlation, Copula

The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market

Bundesbank Series 2 Discussion Paper No. 2008,09, https://doi.org/10.3905/jfi.2008.708840
Posted: 22 May 2019
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)

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Portfolio credit risk, Correlation risk premium, CDS index, Tranche spread, Copula

7.

Systemic Importance: Some Simple Indicators

BIS Quarterly Review, March 2011
Number of pages: 13 Posted: 25 Aug 2012
Mathias Drehmann and Nikola A. Tarashev
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 682 (66,974)
Citation 1

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8.

The Pricing of Portfolio Credit Risk

BIS Working Paper No. 214
Number of pages: 39 Posted: 20 Sep 2007
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 642 (72,336)
Citation 8

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CDS index tranche, Joint distribution of asset returns, Correlation risk premium, Copula

9.

Credit Fundamentals, Ratings and Value-at-Risk: CDOs versus Corporate Exposures

BIS Quarterly Review March 2008
Number of pages: 15 Posted: 12 Jul 2012
Ingo Fender, Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 482 (103,138)
Citation 2

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CDOs, ratings, value-at-risk

10.

Bank Business Models: Popularity and Performance

BIS Working Paper No. 682
Number of pages: 45 Posted: 20 Dec 2017
Rungporn Roengpitya, Nikola A. Tarashev, Kostas Tsatsaronis and Alan Villegas
Bank of Thailand, Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 354 (146,995)
Citation 13

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balance sheet characteristics, cluster analysis, discriminant analysis, model transitions, bank performance

11.

Global Monitoring with the BIS International Banking Statistics

BIS Working Paper No. 244
Number of pages: 29 Posted: 16 Apr 2008
Patrick McGuire and Nikola A. Tarashev
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 297 (177,115)
Citation 27

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international banking, foreign exposures, offshore centres, stress testing, petrodollars, Asian surplus

12.

Bank Health and Lending to Emerging Markets

BIS Quarterly Review, December 2008
Number of pages: 14 Posted: 23 Jul 2012 Last Revised: 29 Sep 2013
Patrick McGuire and Nikola A. Tarashev
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 295 (178,424)
Citation 3

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Emerging markets, international banking, financial crisis, foreign bank participation

13.

Measuring the Systemic Importance of Interconnected Banks

BIS Working Paper No. 342
Number of pages: 26 Posted: 07 Jun 2011
Mathias Drehmann and Nikola A. Tarashev
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 294 (179,064)
Citation 16

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Systemic risk, Shapley values, Interbank positions

14.

Measuring Portfolio Credit Risk Correctly: Why Parameter Uncertainty Matters

Downloads 283 (186,203)
Citation 3

Measuring Portfolio Credit Risk Correctly: Why Parameter Uncertainty Matters

BIS Working Paper No. 280
Number of pages: 43 Posted: 09 Aug 2009
Nikola A. Tarashev
Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 174 (294,482)
Citation 1

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correlated defaults, estimation error, risk management

Measuring Portfolio Credit Risk Correctly: Why Parameter Uncertainty Matters

Number of pages: 40 Posted: 16 Feb 2009
Nikola A. Tarashev
Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 109 (427,829)
Citation 2

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Correlated defaults, Estimation error, Risk management

15.

Post-Crisis International Financial Regulatory Reforms: A Primer

BIS Working Paper No. 859
Number of pages: 69 Posted: 27 Apr 2020
Claudio E. V. Borio, Marc Farag and Nikola A. Tarashev
Bank for International Settlements (BIS) - Research and Policy Analysis, Bank of England - Financial Stability Assessment Division and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 276 (191,021)
Citation 10

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bank regulation, CCPs, asset managers, macroprudential

16.

Modelling and Calibration Errors in Measures of Portfolio Credit Risk

BIS Working Paper No. 230
Number of pages: 42 Posted: 25 Sep 2007
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 237 (222,138)

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ated defaults, value at risk, multiple common factors, granularity, estimation error, tail dependence, bank capital

17.

Bank Standalone Credit Ratings

Downloads 215 (243,689)
Citation 2

Bank Standalone Credit Ratings

BIS Working Paper No. 542
Number of pages: 74 Posted: 02 Feb 2016
Michael R. King, Steven Ongena and Nikola A. Tarashev
Gustavson School Of Business, University of Zurich - Department of Banking and Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 167 (305,118)
Citation 1

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banks, standalone credit ratings, ratings catering, stock market reaction

Bank Standalone Credit Ratings

International Journal of Central Banking, Forthcoming
Number of pages: 44 Posted: 26 Mar 2019 Last Revised: 10 Apr 2019
Michael R. King, Steven Ongena and Nikola A. Tarashev
Gustavson School Of Business, University of Zurich - Department of Banking and Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 48 (686,966)

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18.

Modeling and Calibration Errors in Measures of Portfolio Credit Risk

Number of pages: 40 Posted: 20 Jul 2007
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 147 (339,487)
Citation 11

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Correlated defaults, Value at risk, Multiple common factors, Granularity, Estimation error, Tail dependence, Bank capital

19.

Measuring Portfolio Credit Risk: Modeling Versus Calibration Errors

BIS Quarterly Review, March 2007
Number of pages: 14 Posted: 23 Jun 2012
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 141 (350,917)

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20.

Securitisations: Tranching Concentrates Uncertainty

BIS Quarterly Review December 2014
Number of pages: 17 Posted: 11 Dec 2014
Adonis Antoniades and Nikola A. Tarashev
National University of Singapore Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 132 (369,219)

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21.

Currency Crises and the Informational Role of Interest Rates

BIS Working Paper No. 135
Number of pages: 22 Posted: 20 Sep 2007
Nikola A. Tarashev
Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 122 (391,913)
Citation 12

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22.

Risk Premia Across Asset Markets: Information from Option Prices

BIS Quarterly Review, March 2006
Number of pages: 12 Posted: 06 Jun 2012
Nikola A. Tarashev and Kostas Tsatsaronis
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 112 (417,143)

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23.

How Could Macroprudential Policy Affect Financial System Resilience and Credit? Lessons from the Literature

Bank of England Financial Stability Paper No. 21
Posted: 19 May 2013
Julia Giese, Benjamin Nelson, Misa Tanaka and Nikola A. Tarashev
Bank of England, Bank of England, Bank of England and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 110 (422,632)
Citation 11

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24.

Tracking International Bank Flows

BIS Quarterly Review, December 2006
Number of pages: 14 Posted: 14 Jun 2012 Last Revised: 29 Sep 2013
Patrick McGuire and Nikola A. Tarashev
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 107 (431,132)

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International banking, international capital flows, global imbalances

25.

Are Speculative Attacks Triggered by Sunspots? A New Test

Number of pages: 39 Posted: 20 Sep 2007
Nikola A. Tarashev
Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 78 (527,803)

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speculative attacks, sun spots

26.

Structural Models of Default: Lessons from Firm-Level Data

BIS Quarterly Review, September 2005
Number of pages: 10 Posted: 28 May 2012 Last Revised: 29 Sep 2013
Bank for International Settlements and Nikola A. Tarashev
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 76 (535,838)

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27.

Systematic Monetary Policy and the Forward Premium Puzzle

BIS Working Paper No. 396
Number of pages: 43 Posted: 06 Jan 2013
Demosthenes N. Tambakis and Nikola A. Tarashev
Pembroke College, Cambridge and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 72 (552,328)

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monetary policy rules, uncovered interest parity, exchange rate dynamics, inflation-targeting

28.

Measuring Portfolio Credit Risk: Modelling Versus Calibration Errors

BIS Quarterly Review, March 2007
Number of pages: 14 Posted: 23 Jun 2012 Last Revised: 29 Sep 2013
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 71 (556,590)

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29.

Bank Capital Allocation under Multiple Constraints

BIS Working Paper No. 666
Number of pages: 32 Posted: 10 Nov 2017
Tirupam Goel, Ulf Lewrick and Nikola A. Tarashev
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 67 (574,090)
Citation 6

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internal capital market, Value-at-Risk, leverage ratio, risk-adjusted return on capital

30.

When Uncertainty Decouples Expected and Unexpected Losses

Bank of Finland Research Discussion Paper No. 4/2022
Number of pages: 36 Posted: 27 Jan 2022 Last Revised: 28 Jan 2022
Mikael Juselius and Nikola A. Tarashev
Bank of Finland and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 51 (654,926)

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Expected loss provisioning, Bank capital, Unexpected losses, Credit cycles, Portfolio credit risk

31.

International Banking with the Euro

BIS Quarterly Review, December 2007
Number of pages: 15 Posted: 04 Jul 2012 Last Revised: 29 Sep 2013
Patrick McGuire and Nikola A. Tarashev
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 44 (696,894)
Citation 1

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International banking, introduction of the euro, banking integration, euro lending

32.

The Social Value of Policy Signals

BIS Working Paper No. 386
Number of pages: 37 Posted: 02 Oct 2012
Stefan Avdjiev, Patrick McGuire and Nikola A. Tarashev
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 43 (703,118)

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optimal disclosure, endogenous public signal, strategic complementarity, private information

33.

Looking at the Tail: Price-Based Measures of Systemic Importance

BIS Quarterly Review, June 2013
Number of pages: 15 Posted: 28 Apr 2014
Chen Zhou and Nikola A. Tarashev
De Nederlandsche Bank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 42 (709,715)
Citation 1

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34.

When Pegging Ties Your Hands

BIS Working Paper No. 547
Number of pages: 56 Posted: 09 Mar 2016
Nikola A. Tarashev and Anna Zabai
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 40 (723,309)

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currency crises, strategic uncertainty, global games, time inconsistency

35.

Speculative Attacks, Private Signals and Intertemporal Trade-Offs

BIS Working Paper No. 254
Number of pages: 29 Posted: 22 Jul 2008
Nikola A. Tarashev
Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 35 (758,654)

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Global games of regime change, Strategic uncertainty, Coordination, Currency crises