Details about Dirk Tasche
Access statistics for papers by Dirk Tasche.
Last updated 2023-05-10. Update your information in the RePEc Author Service.
Short-id: pta409
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Working Papers
2022
- Proving prediction prudence
Papers, arXiv.org
2015
- 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
- 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
- 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)
- 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
- 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
- Capital allocation for credit portfolios under normal and stressed market conditions
Papers, arXiv.org View citations (1)
2010
- Estimating discriminatory power and PD curves when the number of defaults is small
Papers, arXiv.org View citations (8)
2008
- Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle
Papers, arXiv.org View citations (65)
2007
- Incorporating exchange rate risk into PDs and asset correlations
Papers, arXiv.org View citations (4)
2006
- 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
- Validation of internal rating systems and PD estimates
Papers, arXiv.org View citations (16)
2005
- Calculating credit risk capital charges with the one-factor model
Papers, arXiv.org View citations (32)
- 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
- Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk
Papers, arXiv.org View citations (1)
- The single risk factor approach to capital charges in case of correlated loss given default rates
Papers, arXiv.org View citations (25)
2003
- A traffic lights approach to PD validation
Papers, arXiv.org View citations (12)
- Measuring the Discriminative Power of Rating Systems
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (37)
2002
- 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)
- Calculating Value-at-Risk contributions in CreditRisk+
Papers, arXiv.org View citations (2)
- Credit Risk Contributions to Value-at-Risk and Expected Shortfall
Papers, arXiv.org View citations (5)
- Remarks on the monotonicity of default probabilities
Papers, arXiv.org View citations (4)
2001
- Conditional Expectation as Quantile Derivative
Papers, arXiv.org View citations (18)
Journal Articles
2015
- THE NUMERICS OF PREMIUM BONDS
Journal of Gambling Business and Economics, 2015, 9, (3), 14-33
- The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions
JRFM, 2015, 9, (1), 1-18
2014
- Exact Fit of Simple Finite Mixture Models
JRFM, 2014, 7, (4), 1-15
2013
- 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
- Capital allocation for credit portfolios with kernel estimators
Quantitative Finance, 2009, 9, (5), 581-595 View citations (12)
2003
- 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
- Expected Shortfall: A Natural Coherent Alternative to Value at Risk
Economic Notes, 2002, 31, (2), 379-388 View citations (186)
- Expected shortfall and beyond
Journal of Banking & Finance, 2002, 26, (7), 1519-1533 View citations (120)
- On the coherence of expected shortfall
Journal of Banking & Finance, 2002, 26, (7), 1487-1503 View citations (526)
Undated
- Bounds for rating override rates
Journal of Credit Risk 
See also Working Paper Bounds for rating override rates, Papers (2012) (2012)
- 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)
- 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)
- 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)
- 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
- 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)
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