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 1 2 2 98
A traffic lights approach to PD validation 0 1 6 115 4 8 17 288
Bayesian estimation of probabilities of default for low default portfolios 0 1 3 142 1 6 11 277
Bounds for rating override rates 0 0 0 39 0 0 3 152
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 0 2 4 70
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 1 8 11 235
Calculating credit risk capital charges with the one-factor model 0 1 2 119 3 7 14 378
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 1 3 185 3 18 32 613
Capital allocation for credit portfolios under normal and stressed market conditions 0 0 1 65 0 2 3 178
Conditional Expectation as Quantile Derivative 0 0 0 55 3 5 9 170
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 0 9 10 178
Estimating Probabilities of Default for Low Default Portfolios 0 0 1 97 4 11 17 347
Estimating discriminatory power and PD curves when the number of defaults is small 0 1 11 175 10 13 29 370
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 0 20 1 1 1 57
Incorporating exchange rate risk into PDs and asset correlations 0 0 0 27 1 4 6 84
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 2 7 8 210
Measuring the Discriminative Power of Rating Systems 0 0 1 332 2 7 13 1,503
Proving prediction prudence 0 0 0 10 1 2 4 33
Recalibrating binary probabilistic classifiers 1 2 6 6 2 5 9 9
Remarks on the monotonicity of default probabilities 0 0 1 27 2 3 6 86
The art of probability-of-default curve calibration 1 2 2 96 5 12 19 255
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 1 2 156 0 3 6 353
What is the best risk measure in practice? A comparison of standard measures 0 0 2 110 0 5 12 237
Total Working Papers 2 10 42 2,094 46 140 248 6,358

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 1 2 3 4
Bayesian estimation of probabilities of default for low default portfolios 0 0 2 6 0 2 5 17
Bounds for rating override rates 0 0 0 0 4 4 7 7
Calculating credit risk capital charges with the one-factor model 0 1 2 2 1 5 16 16
Capital allocation for credit portfolios with kernel estimators 0 0 0 32 7 8 9 111
Exact Fit of Simple Finite Mixture Models 0 0 0 3 1 3 4 49
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 0 5 9 38 5 26 53 196
Expected shortfall and beyond 0 0 0 225 3 5 7 483
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds 0 0 0 0 4 4 4 4
Measuring sectoral diversification in an asymptotic multifactor framework 0 0 0 0 0 1 10 10
On the coherence of expected shortfall 1 2 8 640 49 76 107 1,777
THE NUMERICS OF PREMIUM BONDS 1 1 1 8 3 7 10 39
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 2 3 4 45
The art of probability-of-default curve calibration 0 0 1 1 3 5 9 9
What is the best risk measure in practice? A comparison of standard measures 0 1 1 1 0 3 3 3
Total Journal Articles 2 10 24 961 83 154 251 2,770

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 6 25 55 107
Total Chapters 0 0 1 1 6 25 55 107

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Statistics updated 2026-01-09