Details about Dirk Tasche

Access statistics for papers by Dirk Tasche.

Last updated 2025-04-10. Update your information in the RePEc Author Service.

Short-id: pta409

Working Papers

2022

1. Proving prediction prudence
   Papers, arXiv.org

2015

2. Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds
   Papers, arXiv.org
   See also Journal Article Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds, Journal of Credit Risk, Journal of Credit Risk
3. What is the best risk measure in practice? A comparison of standard measures
   Papers, arXiv.org View citations (141)
   See also Journal Article What is the best risk measure in practice? A comparison of standard measures, Journal of Risk, Journal of Risk

2013

4. Bayesian estimation of probabilities of default for low default portfolios
   Papers, arXiv.org View citations (7)
   See also Journal Article Bayesian estimation of probabilities of default for low default portfolios, Journal of Risk Management in Financial Institutions, Henry Stewart Publications (2013) View citations (2) (2013)
5. The art of probability-of-default curve calibration
   Papers, arXiv.org View citations (7)
   See also Journal Article The art of probability-of-default curve calibration, Journal of Credit Risk, Journal of Credit Risk

2012

6. Bounds for rating override rates
   Papers, arXiv.org
   See also Journal Article Bounds for rating override rates, Journal of Credit Risk, Journal of Credit Risk
7. Capital allocation for credit portfolios under normal and stressed market conditions
   Papers, arXiv.org View citations (1)

2010

8. Estimating discriminatory power and PD curves when the number of defaults is small
   Papers, arXiv.org View citations (8)

2008

9. Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle
   Papers, arXiv.org View citations (65)

2007

10. Incorporating exchange rate risk into PDs and asset correlations
    Papers, arXiv.org View citations (4)

2006

11. Measuring sectoral diversification in an asymptotic multi-factor framework
    Papers, arXiv.org View citations (26)
    See also Journal Article Measuring sectoral diversification in an asymptotic multifactor framework, Journal of Credit Risk, Journal of Credit Risk
12. Validation of internal rating systems and PD estimates
    Papers, arXiv.org View citations (16)

2005

13. Calculating credit risk capital charges with the one-factor model
    Papers, arXiv.org View citations (32)
    See also Journal Article Calculating credit risk capital charges with the one-factor model, Journal of Risk, Journal of Risk
14. Estimating Probabilities of Default for Low Default Portfolios
    Papers, arXiv.org View citations (9)
    See also Chapter Estimating Probabilities of Default for Low Default Portfolios, Springer Books, Springer (2006) View citations (6) (2006)

2004

15. Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk
    Papers, arXiv.org View citations (1)
16. The single risk factor approach to capital charges in case of correlated loss given default rates
    Papers, arXiv.org View citations (26)

2003

17. A traffic lights approach to PD validation
    Papers, arXiv.org View citations (12)
18. Measuring the Discriminative Power of Rating Systems
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (37)

2002

19. A shortcut to sign Incremental Value-at-Risk for risk allocation
    Papers, arXiv.org View citations (2)
    See also Journal Article A Shortcut to Sign Incremental Value at Risk for Risk Allocation, Journal of Risk Finance, Emerald Group Publishing Limited (2003) (2003)
20. Calculating Value-at-Risk contributions in CreditRisk+
    Papers, arXiv.org View citations (2)
21. Credit Risk Contributions to Value-at-Risk and Expected Shortfall
    Papers, arXiv.org View citations (5)
22. Remarks on the monotonicity of default probabilities
    Papers, arXiv.org View citations (4)

2001

23. Conditional Expectation as Quantile Derivative
    Papers, arXiv.org View citations (18)

Journal Articles

2015

1. THE NUMERICS OF PREMIUM BONDS
   Journal of Gambling Business and Economics, 2015, 9, (3), 14-33
2. The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions
   JRFM, 2015, 9, (1), 1-18

2014

3. Exact Fit of Simple Finite Mixture Models
   JRFM, 2014, 7, (4), 1-15

2013

4. Bayesian estimation of probabilities of default for low default portfolios
   Journal of Risk Management in Financial Institutions, 2013, 6, (3), 302-326 View citations (2)
   See also Working Paper Bayesian estimation of probabilities of default for low default portfolios, Papers (2013) View citations (7) (2013)

2009

5. Capital allocation for credit portfolios with kernel estimators
   Quantitative Finance, 2009, 9, (5), 581-595 View citations (13)

2003

6. A Shortcut to Sign Incremental Value at Risk for Risk Allocation
   Journal of Risk Finance, 2003, 4, (2), 43-46
   See also Working Paper A shortcut to sign Incremental Value-at-Risk for risk allocation, Papers (2002) View citations (2) (2002)

2002

7. Expected Shortfall: A Natural Coherent Alternative to Value at Risk
   Economic Notes, 2002, 31, (2), 379-388 View citations (187)
8. Expected shortfall and beyond
   Journal of Banking & Finance, 2002, 26, (7), 1519-1533 View citations (131)
9. On the coherence of expected shortfall
   Journal of Banking & Finance, 2002, 26, (7), 1487-1503 View citations (561)

Undated

10. Bounds for rating override rates
    Journal of Credit Risk
    See also Working Paper Bounds for rating override rates, Papers (2012) (2012)
11. Calculating credit risk capital charges with the one-factor model
    Journal of Risk
    See also Working Paper Calculating credit risk capital charges with the one-factor model, Papers (2005) View citations (32) (2005)
12. Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
    Journal of Credit Risk
    See also Working Paper Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds, Papers (2015) (2015)
13. Measuring sectoral diversification in an asymptotic multifactor framework
    Journal of Credit Risk
    See also Working Paper Measuring sectoral diversification in an asymptotic multi-factor framework, Papers (2006) View citations (26) (2006)
14. The art of probability-of-default curve calibration
    Journal of Credit Risk
    See also Working Paper The art of probability-of-default curve calibration, Papers (2013) View citations (7) (2013)
15. What is the best risk measure in practice? A comparison of standard measures
    Journal of Risk
    See also Working Paper What is the best risk measure in practice? A comparison of standard measures, Papers (2015) View citations (141) (2015)

Chapters

2006

1. Estimating Probabilities of Default for Low Default Portfolios
   Springer View citations (6)
   See also Working Paper Estimating Probabilities of Default for Low Default Portfolios, arXiv.org (2005) View citations (9) (2005)