Nikola A. Tarashev

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

Centralbahnplatz 2

CH-4002 Basel

Switzerland

SCHOLARLY PAPERS

33

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CITATIONS
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331

Scholarly Papers (33)

1.

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 1,314 (14,187)
Citation 58

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Systemic Importance, Macroprudential Approach, Shapley Value

2.

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 1,307 (14,320)

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3.

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 775 (30,854)
Citation 14

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

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 755 (31,490)
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

5.

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 580 (45,561)
Citation 8

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

6.

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 540 (49,881)
Citation 1

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7.

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 527 (51,459)
Citation 1

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8.

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 427 (66,818)
Citation 2

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CDOs, ratings, value-at-risk

9.

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 376 (77,618)

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10.

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 262 (115,696)
Citation 4

Abstract:

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Systemic risk, Shapley values, Interbank positions

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 154 (190,403)
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 99 (267,081)

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Correlated defaults, Estimation error, Risk management

12.

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 216 (140,363)

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

13.

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 215 (140,946)
Citation 17

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

14.

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 177 (168,662)
Citation 1

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

15.
Downloads 120 (231,636)
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
Ivey Business School, University of Zurich - Department of Banking and Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 105 (256,429)
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
Ivey Business School, University of Zurich - Department of Banking and Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 15 (569,125)
Citation 1

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16.

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 120 (231,636)

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17.

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 116 (237,572)
Citation 6

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

18.

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 106 (253,231)
Citation 11

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19.

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 80 (303,331)

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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 (NUS) - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 77 (310,240)

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21.

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 72 (322,275)
Citation 2

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22.

Bank Business Models: Popularity and Performance

BIS Working Paper No. 682
Number of pages: 45 Posted: 20 Dec 2017
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 63 (346,088)

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

23.

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 61 (351,739)

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International banking, international capital flows, global imbalances

24.

Are Speculative Attacks Triggered by Sunspots? A New Test

BIS Working Paper No. 166
Number of pages: 39 Posted: 20 Sep 2007
Nikola A. Tarashev
Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 58 (360,516)

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speculative attacks, sun spots

25.

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 55 (369,887)

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26.

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 47 (396,292)

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

27.

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 36 (438,163)

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28.

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 30 (469,495)

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

29.

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 25 (490,394)

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30.

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 24 (495,962)

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

31.

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 24 (495,962)

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

32.

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 20 (518,835)
Citation 1

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

33.

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 13 (559,995)

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currency crises, strategic uncertainty, global games, time inconsistency