Access Statistics for Dirk Tasche

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A shortcut to sign Incremental Value-at-Risk for risk allocation 0 0 0 28 0 0 0 96
A traffic lights approach to PD validation 1 2 6 112 2 5 17 277
Bayesian estimation of probabilities of default for low default portfolios 0 0 1 139 0 3 5 269
Bounds for rating override rates 0 0 0 39 0 0 1 149
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 0 1 1 67
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 0 2 3 226
Calculating credit risk capital charges with the one-factor model 0 0 0 117 0 3 6 368
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 1 7 183 1 7 19 589
Capital allocation for credit portfolios under normal and stressed market conditions 0 1 1 65 0 1 1 176
Conditional Expectation as Quantile Derivative 0 0 2 55 0 2 9 164
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 0 0 1 168
Estimating Probabilities of Default for Low Default Portfolios 0 0 1 96 2 3 11 334
Estimating discriminatory power and PD curves when the number of defaults is small 4 5 7 169 4 6 12 347
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 1 20 0 0 2 56
Incorporating exchange rate risk into PDs and asset correlations 0 0 0 27 0 1 1 79
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 1 1 2 203
Measuring the Discriminative Power of Rating Systems 0 1 5 332 1 2 14 1,493
Proving prediction prudence 0 0 0 10 0 0 1 29
Remarks on the monotonicity of default probabilities 0 1 2 27 0 2 5 83
The art of probability-of-default curve calibration 0 0 3 94 0 1 11 237
The single risk factor approach to capital charges in case of correlated loss given default rates 0 0 0 70 0 1 2 176
Validation of internal rating systems and PD estimates 0 0 3 154 0 0 11 348
What is the best risk measure in practice? A comparison of standard measures 0 1 1 109 0 2 4 227
Total Working Papers 5 12 40 2,065 11 43 139 6,161

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Shortcut to Sign Incremental Value at Risk for Risk Allocation 0 0 0 0 0 0 1 1
Bayesian estimation of probabilities of default for low default portfolios 0 0 1 4 0 1 4 13
Bounds for rating override rates 0 0 0 0 0 0 0 0
Calculating credit risk capital charges with the one-factor model 0 1 1 1 1 5 9 9
Capital allocation for credit portfolios with kernel estimators 0 0 1 32 0 0 1 102
Exact Fit of Simple Finite Mixture Models 0 0 0 3 0 0 0 45
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 1 1 3 31 2 5 14 152
Expected shortfall and beyond 0 0 0 225 0 1 3 477
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds 0 0 0 0 0 0 0 0
Measuring sectoral diversification in an asymptotic multifactor framework 0 0 0 0 0 3 7 7
On the coherence of expected shortfall 0 1 1 633 2 6 14 1,677
THE NUMERICS OF PREMIUM BONDS 0 0 0 7 0 0 2 30
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 0 0 0 41
The art of probability-of-default curve calibration 0 1 1 1 0 1 2 2
What is the best risk measure in practice? A comparison of standard measures 0 0 0 0 0 0 0 0
Total Journal Articles 1 4 8 942 5 22 57 2,556

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Estimating Probabilities of Default for Low Default Portfolios 0 1 1 1 7 15 30 69
Total Chapters 0 1 1 1 7 15 30 69

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Statistics updated 2025-05-12