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 2 5 7 103
A traffic lights approach to PD validation 0 0 3 115 5 9 26 303
Bayesian estimation of probabilities of default for low default portfolios 0 2 6 145 2 6 18 287
Bounds for rating override rates 0 0 0 39 3 5 10 159
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 1 1 4 71
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 3 6 18 244
Calculating credit risk capital charges with the one-factor model 0 0 3 120 5 8 22 390
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 1 2 4 187 6 13 43 632
Capital allocation for credit portfolios under normal and stressed market conditions 0 0 0 65 0 0 3 179
Conditional Expectation as Quantile Derivative 0 0 0 55 0 2 12 176
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 0 1 13 181
Estimating Probabilities of Default for Low Default Portfolios 1 5 7 103 8 21 38 372
Estimating discriminatory power and PD curves when the number of defaults is small 0 0 6 175 2 10 42 389
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 0 20 0 0 3 59
Incorporating exchange rate risk into PDs and asset correlations 0 0 0 27 1 1 6 85
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 1 2 10 213
Measuring the Discriminative Power of Rating Systems 0 2 2 334 3 12 24 1,517
Proving prediction prudence 0 0 0 10 2 3 9 38
Recalibrating binary probabilistic classifiers 0 0 6 6 5 5 19 19
Remarks on the monotonicity of default probabilities 1 1 1 28 3 3 8 91
The art of probability-of-default curve calibration 0 0 2 96 2 6 26 263
The single risk factor approach to capital charges in case of correlated loss given default rates 0 2 3 73 1 4 5 181
Validation of internal rating systems and PD estimates 0 1 3 157 1 2 8 356
What is the best risk measure in practice? A comparison of standard measures 0 0 1 110 0 2 13 240
Total Working Papers 3 15 47 2,112 56 127 387 6,548

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 4 4 9 10
Bayesian estimation of probabilities of default for low default portfolios 0 0 2 6 3 8 15 28
Bounds for rating override rates 0 1 1 1 3 5 14 14
Calculating credit risk capital charges with the one-factor model 0 0 2 3 5 10 24 33
Capital allocation for credit portfolios with kernel estimators 0 0 0 32 4 4 23 125
Exact Fit of Simple Finite Mixture Models 0 0 0 3 1 1 7 52
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 0 4 14 45 3 20 73 225
Expected shortfall and beyond 0 0 1 226 1 3 13 490
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds 0 0 0 0 1 1 6 6
Measuring sectoral diversification in an asymptotic multifactor framework 0 0 0 0 5 7 12 19
On the coherence of expected shortfall 0 2 9 642 9 25 175 1,852
THE NUMERICS OF PREMIUM BONDS 1 1 2 9 2 3 14 44
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 3 3 10 51
The art of probability-of-default curve calibration 0 0 1 2 4 7 16 18
What is the best risk measure in practice? A comparison of standard measures 0 0 2 2 0 2 10 10
Total Journal Articles 1 8 34 976 48 103 421 2,977

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 10 21 69 138
Unbiasedness in Least Quantile Regression 0 0 0 0 1 2 3 3
Total Chapters 0 0 0 1 11 23 72 141

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Statistics updated 2026-05-06