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 2 98
A traffic lights approach to PD validation 0 0 5 115 6 10 22 294
Bayesian estimation of probabilities of default for low default portfolios 1 1 4 143 4 6 15 281
Bounds for rating override rates 0 0 0 39 2 2 5 154
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 3 5 14 238
Calculating credit risk capital charges with the one-factor model 1 2 3 120 4 8 17 382
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 1 3 185 6 19 37 619
Capital allocation for credit portfolios under normal and stressed market conditions 0 0 1 65 1 3 4 179
Conditional Expectation as Quantile Derivative 0 0 0 55 4 9 12 174
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 2 5 12 180
Estimating Probabilities of Default for Low Default Portfolios 1 1 2 98 4 11 20 351
Estimating discriminatory power and PD curves when the number of defaults is small 0 0 11 175 9 21 38 379
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 0 20 2 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 5 9 211
Measuring the Discriminative Power of Rating Systems 0 0 1 332 2 7 14 1,505
Proving prediction prudence 0 0 0 10 2 3 6 35
Recalibrating binary probabilistic classifiers 0 1 6 6 5 7 14 14
Remarks on the monotonicity of default probabilities 0 0 1 27 2 4 7 88
The art of probability-of-default curve calibration 0 1 2 96 2 8 21 257
The single risk factor approach to capital charges in case of correlated loss given default rates 0 0 1 71 0 0 2 177
Validation of internal rating systems and PD estimates 0 0 2 156 1 2 6 354
What is the best risk measure in practice? A comparison of standard measures 0 0 2 110 1 1 13 238
Total Working Papers 3 7 44 2,097 63 141 303 6,421

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 2 4 5 6
Bayesian estimation of probabilities of default for low default portfolios 0 0 2 6 3 4 8 20
Bounds for rating override rates 0 0 0 0 2 6 9 9
Calculating credit risk capital charges with the one-factor model 1 2 3 3 7 10 19 23
Capital allocation for credit portfolios with kernel estimators 0 0 0 32 10 17 19 121
Exact Fit of Simple Finite Mixture Models 0 0 0 3 2 4 6 51
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 3 6 11 41 9 26 58 205
Expected shortfall and beyond 1 1 1 226 4 7 11 487
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds 0 0 0 0 1 5 5 5
Measuring sectoral diversification in an asymptotic multifactor framework 0 0 0 0 2 3 8 12
On the coherence of expected shortfall 0 1 8 640 50 115 156 1,827
THE NUMERICS OF PREMIUM BONDS 0 1 1 8 2 8 11 41
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 3 5 7 48
The art of probability-of-default curve calibration 1 1 2 2 2 6 10 11
What is the best risk measure in practice? A comparison of standard measures 1 1 2 2 5 7 8 8
Total Journal Articles 7 13 30 968 104 227 340 2,874

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 1 1 10 27 63 117
Unbiasedness in Least Quantile Regression 0 0 0 0 1 1 1 1
Total Chapters 0 0 1 1 11 28 64 118

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Statistics updated 2026-02-12