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Details about Dirk Tasche

Workplace:Eidgenössische Finanzmarktaufsicht (FINMA) (Swiss Financial Market Supervisory Authority), Government of Switzerland, (more information at EDIRC)

Access statistics for papers by Dirk Tasche.

Last updated 2020-05-16. Update your information in the RePEc Author Service.

Short-id: pta409

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Working Papers


  1. Proving prediction prudence
    Papers, Downloads


  1. Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds
    Papers, Downloads
  2. What is the best risk measure in practice? A comparison of standard measures
    Papers, Downloads View citations (61)


  1. Bayesian estimation of probabilities of default for low default portfolios
    Papers, Downloads View citations (4)
  2. The art of probability-of-default curve calibration
    Papers, Downloads View citations (3)


  1. Bounds for rating override rates
    Papers, Downloads
  2. Capital allocation for credit portfolios under normal and stressed market conditions
    Papers, Downloads


  1. Estimating discriminatory power and PD curves when the number of defaults is small
    Papers, Downloads View citations (4)


  1. Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle
    Papers, Downloads View citations (32)


  1. Incorporating exchange rate risk into PDs and asset correlations
    Papers, Downloads View citations (4)


  1. Measuring sectoral diversification in an asymptotic multi-factor framework
    Papers, Downloads View citations (19)
  2. Validation of internal rating systems and PD estimates
    Papers, Downloads View citations (12)


  1. Calculating credit risk capital charges with the one-factor model
    Papers, Downloads View citations (26)
  2. Estimating Probabilities of Default for Low Default Portfolios
    Papers, Downloads View citations (6)


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


  1. A traffic lights approach to PD validation
    Papers, Downloads View citations (5)
  2. Measuring the Discriminative Power of Rating Systems
    Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank Downloads View citations (24)


  1. A shortcut to sign Incremental Value-at-Risk for risk allocation
    Papers, Downloads View citations (1)
  2. Calculating Value-at-Risk contributions in CreditRisk+
    Papers, Downloads View citations (1)
  3. Credit Risk Contributions to Value-at-Risk and Expected Shortfall
    Papers, Downloads View citations (5)
  4. Remarks on the monotonicity of default probabilities
    Papers, Downloads View citations (4)


  1. Conditional Expectation as Quantile Derivative
    Papers, Downloads View citations (10)

Journal Articles


    Journal of Gambling Business and Economics, 2015, 9, (3), 14-33 Downloads
  2. The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions
    Journal of Risk and Financial Management, 2015, 9, (1), 1-18 Downloads


  1. Exact Fit of Simple Finite Mixture Models
    Journal of Risk and Financial Management, 2014, 7, (4), 1-15 Downloads


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


  1. Expected Shortfall: A Natural Coherent Alternative to Value at Risk
    Economic Notes, 2002, 31, (2), 379-388 Downloads View citations (100)
  2. Expected shortfall and beyond
    Journal of Banking & Finance, 2002, 26, (7), 1519-1533 Downloads View citations (98)
  3. On the coherence of expected shortfall
    Journal of Banking & Finance, 2002, 26, (7), 1487-1503 Downloads View citations (390)
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