Dirk Tasche

Management Science and Operations Research · 2000–2007

A researcher in the Science corpus: 6 papers; trusts 25 researchers and is trusted by 54 researchers here, as inferred from the citation graph.

Subfields

• Management Science and Operations Research — 31 citations into it; #473 of 11,946 by trust here, #1,559 by citations
• Finance — 28 citations into it; #655 of 10,518 by trust here, #2,066 by citations
• Economics and Econometrics — 20 citations into it; #1,806 of 23,481 by trust here, #9,259 by citations
• General Decision Sciences — 6 citations into it
• Statistics and Probability — 5 citations into it; #6,974 of 12,932 by trust here, #9,233 by citations

Whom Dirk Tasche trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Michel Denault
2. Winfried Hallerbach
3. Christian Gouriéroux
4. R. Tyrrell Rockafellar
5. Paul Glasserman
6. Stanislav Uryasev
7. Georg Ch. Pflug
8. Freddy Delbaen
9. Dimitris J. Bertsimas
10. Jean Paul Laurent

Who trusts Dirk Tasche overall

1. R. Tyrrell Rockafellar
2. Michael Kalkbrener
3. Olivier Scaillet
4. Tom Fischer
5. Edward Furman
6. Yasuhiro Yamai
7. Rogemar S. Mamon
8. Stanislav Uryasev
9. G. Bassett
10. Dimitris J. Bertsimas

Papers from Dirk Tasche's perspective

Ordered by how strongly the researchers Dirk Tasche trusts endorse each paper. Same corpus, a different order for every researcher.

1. Coherent Risk Measures on General Probability Spaces
2. Risk contributions and performance measurement
3. Convex measures of risk and trading constraints (Finance and Stochastics)
4. Optimization of conditional value-at risk
5. Conditional Value-at-Risk for General Loss Distributions
6. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
7. Expected shortfall and beyond
8. On law invariant coherent risk measures
9. Coherent allocation of risk capital
10. Conditional value-at-risk: optimization algorithms and applications (IEEE Conference on Computational Intelligence for Financial Engineering & Economics)

Their papers

• Expected shortfall and beyond (2002) — 420 citations
• Expected Shortfall: a natural coherent alternative to Value at Risk (2001) — 639 citations
• Conditional Expectation as Quantile Derivative (2001) — 63 citations
• Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle (2007) — 160 citations
• Measuring the Discriminative Power of Rating Systems (2003) — 131 citations
• Risk contributions and performance measurement (2000) — 298 citations