Nikola Tarashev
Senior Economist
Monetary and Economic Department, Financial Institutions
Nikola Tarashev is a Senior Economist in Research and Statistics. He joined the BIS in 2002, after completing his PhD in Economics at Princeton University. He has contributed regularly to the BIS Quarterly Review and has participated in BIS-based committees, both as a member and as a secretary of working groups. Nikola has published articles on information frictions in financial markets, on investors' appetite for risk, on measuring the credit risk of single entities and financial portfolios, and on the pricing of portfolio credit risk. Most recently, he has proposed a method for measuring the systemic importance of individual financial institutions. Currently, Nikola is also a part-time consultant at the Prudential Policy Division of the Bank of England.
Fields of interest
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Financial stability and macro-prudential issues
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International finance
Selected Publications
- Measuring portfolio credit risk correctly: Why parameter uncertainty matters, Journal of Banking and Finance 34, September 2010, 2065-2076.
- The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market (with H. Zhu), Journal of Fixed Income 18:1, Summer 2008.
- Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model (with H. Zhu), International Journal of Central Banking 4:2, June 2008.
- An Empirical Evaluation of Structural Credit Risk Models, International Journal of Central Banking 4:1, March 2008.
- Speculative Attacks and the Information Role of the Interest Rate, Journal of the European Economic Association 5:1, March 2007.
