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 3 4 5 101
A traffic lights approach to PD validation 0 0 5 115 2 12 23 296
Bayesian estimation of probabilities of default for low default portfolios 2 3 6 145 3 8 18 284
Bounds for rating override rates 0 0 0 39 2 4 7 156
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 0 0 4 70
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 2 6 16 240
Calculating credit risk capital charges with the one-factor model 0 1 3 120 1 8 17 383
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 0 2 185 2 11 38 621
Capital allocation for credit portfolios under normal and stressed market conditions 0 0 1 65 0 1 4 179
Conditional Expectation as Quantile Derivative 0 0 0 55 1 8 12 175
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 0 2 12 180
Estimating Probabilities of Default for Low Default Portfolios 3 4 5 101 9 17 29 360
Estimating discriminatory power and PD curves when the number of defaults is small 0 0 10 175 4 23 41 383
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 0 20 0 3 3 59
Incorporating exchange rate risk into PDs and asset correlations 0 0 0 27 0 1 6 84
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 1 4 10 212
Measuring the Discriminative Power of Rating Systems 1 1 1 333 3 7 16 1,508
Proving prediction prudence 0 0 0 10 1 4 7 36
Recalibrating binary probabilistic classifiers 0 1 6 6 0 7 14 14
Remarks on the monotonicity of default probabilities 0 0 0 27 0 4 6 88
The art of probability-of-default curve calibration 0 1 2 96 2 9 23 259
The single risk factor approach to capital charges in case of correlated loss given default rates 2 2 3 73 3 3 5 180
Validation of internal rating systems and PD estimates 1 1 3 157 1 2 7 355
What is the best risk measure in practice? A comparison of standard measures 0 0 2 110 1 2 14 239
Total Working Papers 9 14 49 2,106 41 150 337 6,462

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 3 5 6
Bayesian estimation of probabilities of default for low default portfolios 0 0 2 6 3 6 11 23
Bounds for rating override rates 0 0 0 0 1 7 10 10
Calculating credit risk capital charges with the one-factor model 0 1 2 3 5 13 20 28
Capital allocation for credit portfolios with kernel estimators 0 0 0 32 0 17 19 121
Exact Fit of Simple Finite Mixture Models 0 0 0 3 0 3 6 51
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 2 5 13 43 11 25 66 216
Expected shortfall and beyond 0 1 1 226 1 8 11 488
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds 0 0 0 0 0 5 5 5
Measuring sectoral diversification in an asymptotic multifactor framework 0 0 0 0 1 3 6 13
On the coherence of expected shortfall 1 2 8 641 11 110 164 1,838
THE NUMERICS OF PREMIUM BONDS 0 1 1 8 1 6 12 42
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 0 5 7 48
The art of probability-of-default curve calibration 0 1 1 2 3 8 12 14
What is the best risk measure in practice? A comparison of standard measures 0 1 2 2 0 5 8 8
Total Journal Articles 3 12 30 971 37 224 362 2,911

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 5 21 64 122
Unbiasedness in Least Quantile Regression 0 0 0 0 0 1 1 1
Total Chapters 0 0 0 1 5 22 65 123

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Statistics updated 2026-03-04