Nikola Tarashev
Nikola Tarashev 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, on the pricing of portfolio credit risk and on the measurement of the systemic importance of individual financial institutions. He was also a part-time consultant at the Prudential Policy Division of the Bank of England. From mid-2015 to March 2018, Nikola was Special Adviser on Financial Stability Policy.
Fields of interest
- Financial stability and macroprudential issues
- Financial markets
- International finance
- "Bank standalone credit ratings" (with M King and S Ongena), International Journal of Central Banking, August 2019, forthcoming.
- " When pegging is a commitment device: Revisiting conventional wisdom about currency crises" (with A Zabai), Journal of International Economics, May 2019.
- " Risk attribution using the Shapley value: methodology and policy applications" (with K Tsatsaronis and C Borio), Review of Finance, vol 20, no 3, 2016, pp 1189-213.
- " Measuring portfolio credit risk correctly: Why parameter uncertainty matters", Journal of Banking and Finance, vol 34, issue 9, September 2010, pp 2065-76. Also published as BIS Working Papers no 280.
- " Speculative attacks and the information role of the interest rate", Journal of the European Economic Association, vol 5, issue 1, March 2007. Also published as BIS Working Papers no 135.
- " Measuring the systemic importance of interconnected banks" (with M Drehmann), Journal of Financial Intermediation, vol 22, issue 4, October 2013. Also published as BIS Working Papers no 342.
- " The pricing of correlated default risk: evidence from the credit derivatives market" (with H Zhu), Journal of Fixed Income, vol 18, no 1, summer 2008. Also published as BIS Working Papers no 214.
- " Specification and calibration errors in measures of portfolio credit risk: the case of the ASRF model" (with H Zhu), International Journal of Central Banking, vol 4, no 2, June 2008. Also published as BIS Working Papers no 230.
- " An empirical evaluation of structural credit risk models", International Journal of Central Banking, vol 4, no 1, March 2008. Also published as BIS Working Papers no 179.