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 1 8 104
A traffic lights approach to PD validation 0 0 4 118 1 4 31 311
Bayesian estimation of probabilities of default for low default portfolios 0 0 4 145 1 5 22 293
Bounds for rating override rates 0 0 1 40 1 1 9 161
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 0 1 4 72
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 0 1 18 245
Calculating credit risk capital charges with the one-factor model 0 0 2 120 0 2 22 393
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 0 4 188 0 5 47 642
Capital allocation for credit portfolios under normal and stressed market conditions 0 0 0 65 0 1 4 180
Conditional Expectation as Quantile Derivative 0 0 0 55 0 0 12 177
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 0 1 13 182
Estimating Probabilities of Default for Low Default Portfolios 0 2 8 105 0 4 44 380
Estimating discriminatory power and PD curves when the number of defaults is small 1 1 2 176 1 3 37 394
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 0 20 0 1 5 61
Incorporating exchange rate risk into PDs and asset correlations 0 1 1 28 2 4 9 89
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 2 3 14 217
Measuring the Discriminative Power of Rating Systems 1 2 5 337 2 9 33 1,529
Proving prediction prudence 0 0 0 10 0 2 10 41
Recalibrating binary probabilistic classifiers 1 1 3 7 2 3 19 23
Remarks on the monotonicity of default probabilities 0 0 1 28 0 2 10 93
The art of probability-of-default curve calibration 0 0 2 96 1 3 24 267
The single risk factor approach to capital charges in case of correlated loss given default rates 0 0 2 73 1 3 7 184
Validation of internal rating systems and PD estimates 0 0 2 157 0 2 10 360
What is the best risk measure in practice? A comparison of standard measures 0 0 0 110 1 2 12 244
Total Working Papers 3 7 41 2,125 15 63 424 6,642

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 1 9 11
Bayesian estimation of probabilities of default for low default portfolios 0 1 1 7 0 1 16 31
Bounds for rating override rates 0 0 1 1 0 2 13 16
Calculating credit risk capital charges with the one-factor model 0 0 2 3 0 1 24 35
Capital allocation for credit portfolios with kernel estimators 0 0 0 32 0 0 22 125
Exact Fit of Simple Finite Mixture Models 0 0 0 3 0 0 7 53
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 0 1 15 48 2 8 73 243
Expected shortfall and beyond 0 0 1 226 0 3 17 495
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds 0 0 0 0 0 0 6 6
Measuring sectoral diversification in an asymptotic multifactor framework 0 0 0 0 0 1 11 20
On the coherence of expected shortfall 2 3 13 651 8 19 190 1,891
THE NUMERICS OF PREMIUM BONDS 0 0 2 9 0 1 13 45
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 0 0 10 52
The art of probability-of-default curve calibration 0 0 1 2 1 2 19 23
What is the best risk measure in practice? A comparison of standard measures 0 0 2 2 0 1 12 12
Total Journal Articles 2 5 38 989 11 40 442 3,058

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 0 0 1 3 7 74 156
Unbiasedness in Least Quantile Regression 0 0 0 0 0 0 3 3
Total Chapters 0 0 0 1 3 7 77 159

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Statistics updated 2026-10-11