Details about Dirk Tasche

Access statistics for papers by Dirk Tasche.

Last updated 2013-04-05. Update your information in the RePEc Author Service.

Short-id: pta409

Working Papers

2013

1. The art of PD curve calibration
   Papers, arXiv.org

2012

2. Bayesian estimation of probabilities of default for low default portfolios
   Papers, arXiv.org
3. Bounds for rating override rates
   Papers, arXiv.org
4. Capital allocation for credit portfolios under normal and stressed market conditions
   Papers, arXiv.org

2010

5. Estimating discriminatory power and PD curves when the number of defaults is small
   Papers, arXiv.org View citations (2)
6. Loss distributions conditional on defaults
   Papers, arXiv.org

2008

7. Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle
   Papers, arXiv.org View citations (9)
8. Capital allocation for credit portfolios with kernel estimators
   Papers, arXiv.org
   See also Journal Article in Quantitative Finance (2009)

2007

9. Incorporating exchange rate risk into PDs and asset correlations
   Papers, arXiv.org

2006

10. Measuring sectoral diversification in an asymptotic multi-factor framework
    Papers, arXiv.org View citations (5)
11. Validation of internal rating systems and PD estimates
    Papers, arXiv.org View citations (6)

2005

12. Calculating credit risk capital charges with the one-factor model
    Papers, arXiv.org View citations (6)
13. Estimating Probabilities of Default for Low Default Portfolios
    Papers, arXiv.org View citations (1)

2004

14. Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk
    Papers, arXiv.org
15. The single risk factor approach to capital charges in case of correlated loss given default rates
    Papers, arXiv.org View citations (8)

2003

16. A traffic lights approach to PD validation
    Papers, arXiv.org View citations (3)
17. Measuring the Discriminative Power of Rating Systems
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, Research Centre View citations (10)

2002

18. A shortcut to sign Incremental Value-at-Risk for risk allocation
    Papers, arXiv.org
19. Calculating Value-at-Risk contributions in CreditRisk+
    Papers, arXiv.org View citations (1)
20. Credit Risk Contributions to Value-at-Risk and Expected Shortfall
    Papers, arXiv.org View citations (2)
21. Expected Shortfall and Beyond
    Papers, arXiv.org View citations (25)
    See also Journal Article in Journal of Banking & Finance (2002)
22. On the coherence of Expected Shortfall
    Papers, arXiv.org View citations (77)
    See also Journal Article in Journal of Banking & Finance (2002)
23. Remarks on the monotonicity of default probabilities
    Papers, arXiv.org View citations (4)

2001

24. Conditional Expectation as Quantile Derivative
    Papers, arXiv.org View citations (5)
25. Expected Shortfall: a natural coherent alternative to Value at Risk
    Papers, arXiv.org View citations (29)

Journal Articles

2009

1. Capital allocation for credit portfolios with kernel estimators
   Quantitative Finance, 2009, 9, (5), 581-595
   See also Working Paper (2008)

2002

2. Expected shortfall and beyond
   Journal of Banking & Finance, 2002, 26, (7), 1519-1533 View citations (32)
   See also Working Paper (2002)
3. On the coherence of expected shortfall
   Journal of Banking & Finance, 2002, 26, (7), 1487-1503 View citations (82)
   See also Working Paper (2002)