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 1 8 104
A traffic lights approach to PD validation 0 3 5 118 1 6 31 310
Bayesian estimation of probabilities of default for low default portfolios 0 0 4 145 4 4 21 292
Bounds for rating override rates 0 1 1 40 0 1 8 160
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 1 1 4 72
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 0 1 19 245
Calculating credit risk capital charges with the one-factor model 0 0 2 120 2 2 22 393
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 0 5 188 3 8 49 642
Capital allocation for credit portfolios under normal and stressed market conditions 0 0 0 65 1 1 4 180
Conditional Expectation as Quantile Derivative 0 0 0 55 0 1 12 177
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 1 1 14 182
Estimating Probabilities of Default for Low Default Portfolios 2 2 8 105 3 7 44 380
Estimating discriminatory power and PD curves when the number of defaults is small 0 0 2 175 2 3 39 393
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 0 20 1 1 5 61
Incorporating exchange rate risk into PDs and asset correlations 1 1 1 28 2 2 8 87
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 1 2 12 215
Measuring the Discriminative Power of Rating Systems 0 1 4 336 5 8 32 1,527
Proving prediction prudence 0 0 0 10 1 2 10 41
Recalibrating binary probabilistic classifiers 0 0 2 6 1 1 17 21
Remarks on the monotonicity of default probabilities 0 0 1 28 2 2 10 93
The art of probability-of-default curve calibration 0 0 2 96 0 2 25 266
The single risk factor approach to capital charges in case of correlated loss given default rates 0 0 2 73 2 2 6 183
Validation of internal rating systems and PD estimates 0 0 2 157 1 3 10 360
What is the best risk measure in practice? A comparison of standard measures 0 0 1 110 1 2 15 243
Total Working Papers 3 8 42 2,122 36 64 425 6,627

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 1 9 11
Bayesian estimation of probabilities of default for low default portfolios 1 1 2 7 1 2 17 31
Bounds for rating override rates 0 0 1 1 1 2 13 16
Calculating credit risk capital charges with the one-factor model 0 0 2 3 1 1 24 35
Capital allocation for credit portfolios with kernel estimators 0 0 0 32 0 0 23 125
Exact Fit of Simple Finite Mixture Models 0 0 0 3 0 1 7 53
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 0 1 15 48 1 10 75 241
Expected shortfall and beyond 0 0 1 226 1 5 17 495
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds 0 0 0 0 0 0 6 6
Measuring sectoral diversification in an asymptotic multifactor framework 0 0 0 0 1 1 11 20
On the coherence of expected shortfall 0 4 12 649 8 22 186 1,883
THE NUMERICS OF PREMIUM BONDS 0 0 2 9 0 1 13 45
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 0 0 10 52
The art of probability-of-default curve calibration 0 0 1 2 1 2 20 22
What is the best risk measure in practice? A comparison of standard measures 0 0 2 2 0 1 12 12
Total Journal Articles 1 6 38 987 15 49 443 3,047

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 2 6 76 153
Unbiasedness in Least Quantile Regression 0 0 0 0 0 0 3 3
Total Chapters 0 0 0 1 2 6 79 156

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Statistics updated 2026-09-10