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 0 2 7 110 1 3 20 273
Bayesian estimation of probabilities of default for low default portfolios 0 0 1 139 0 0 2 266
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 0 0 66
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 0 0 3 224
Calculating credit risk capital charges with the one-factor model 0 0 1 117 1 3 5 366
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 1 4 7 183 1 5 15 583
Capital allocation for credit portfolios under normal and stressed market conditions 0 0 0 64 0 0 0 175
Conditional Expectation as Quantile Derivative 0 1 2 55 1 3 10 163
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 1 36 0 0 2 168
Estimating Probabilities of Default for Low Default Portfolios 0 0 1 96 0 2 10 331
Estimating discriminatory power and PD curves when the number of defaults is small 1 2 4 165 1 2 9 342
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 1 20 0 0 4 56
Incorporating exchange rate risk into PDs and asset correlations 0 0 0 27 0 0 0 78
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 0 0 1 202
Measuring the Discriminative Power of Rating Systems 1 1 5 332 1 2 13 1,492
Proving prediction prudence 0 0 0 10 0 1 1 29
Remarks on the monotonicity of default probabilities 1 1 2 27 1 2 5 82
The art of probability-of-default curve calibration 0 0 4 94 0 1 12 236
The single risk factor approach to capital charges in case of correlated loss given default rates 0 0 0 70 0 0 2 175
Validation of internal rating systems and PD estimates 0 1 3 154 0 4 14 348
What is the best risk measure in practice? A comparison of standard measures 0 0 1 108 0 0 3 225
Total Working Papers 4 12 40 2,057 7 28 132 6,125

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 0 3 12
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 0 1 3 30 3 8 15 150
Expected shortfall and beyond 0 0 0 225 1 1 3 477
On the coherence of expected shortfall 1 1 3 633 3 5 14 1,674
THE NUMERICS OF PREMIUM BONDS 0 0 0 7 0 1 2 30
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 0 0 0 41
Total Journal Articles 1 2 8 939 7 15 39 2,532

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 1 1 1 1 4 7 25 58
Total Chapters 1 1 1 1 4 7 25 58

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Statistics updated 2025-03-03