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 27 0 0 3 88
A traffic lights approach to PD validation 0 1 5 83 0 6 24 192
Bayesian estimation of probabilities of default for low default portfolios 0 0 4 126 0 0 5 238
Bounds for rating override rates 0 0 3 34 0 2 8 132
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 0 0 1 65
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 1 85 0 0 3 201
Calculating credit risk capital charges with the one-factor model 0 0 2 106 4 6 19 323
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 2 2 148 1 5 23 486
Capital allocation for credit portfolios under normal and stressed market conditions 0 0 2 60 0 1 6 166
Conditional Expectation as Quantile Derivative 0 0 1 52 0 0 3 143
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 1 32 0 4 14 151
Estimating Probabilities of Default for Low Default Portfolios 0 0 3 77 0 2 33 238
Estimating discriminatory power and PD curves when the number of defaults is small 0 0 4 134 2 2 10 265
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 0 17 1 1 5 50
Incorporating exchange rate risk into PDs and asset correlations 0 0 0 24 1 1 2 74
Measuring sectoral diversification in an asymptotic multi-factor framework 1 1 5 73 1 2 10 185
Measuring the Discriminative Power of Rating Systems 0 3 17 286 5 23 92 1,312
Proving prediction prudence 0 0 4 4 1 6 13 13
Remarks on the monotonicity of default probabilities 0 1 5 19 1 3 12 62
The art of probability-of-default curve calibration 0 0 3 81 1 6 17 180
The single risk factor approach to capital charges in case of correlated loss given default rates 0 0 2 65 0 1 6 162
Validation of internal rating systems and PD estimates 0 1 10 130 0 3 23 282
What is the best risk measure in practice? A comparison of standard measures 0 0 5 98 0 4 18 183
Total Working Papers 1 9 79 1,780 18 78 350 5,191

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Capital allocation for credit portfolios with kernel estimators 0 0 1 27 0 0 3 92
Exact Fit of Simple Finite Mixture Models 0 0 1 2 0 0 5 39
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 0 0 0 20 1 4 10 98
Expected shortfall and beyond 0 0 0 222 0 1 8 464
On the coherence of expected shortfall 1 3 38 570 6 23 115 1,481
THE NUMERICS OF PREMIUM BONDS 0 0 1 4 1 1 5 14
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 1 4 0 1 10 36
Total Journal Articles 1 3 42 849 8 30 156 2,224

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Statistics updated 2020-09-04