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 0 0 96
A traffic lights approach to PD validation 1 1 6 114 1 1 14 280
Bayesian estimation of probabilities of default for low default portfolios 0 0 3 141 0 0 7 271
Bounds for rating override rates 0 0 0 39 0 1 3 152
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 0 0 2 68
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 1 1 3 227
Calculating credit risk capital charges with the one-factor model 0 1 1 118 0 3 9 371
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 1 1 6 184 2 3 20 595
Capital allocation for credit portfolios under normal and stressed market conditions 0 0 1 65 0 0 1 176
Conditional Expectation as Quantile Derivative 0 0 1 55 0 0 6 165
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 1 1 1 169
Estimating Probabilities of Default for Low Default Portfolios 0 0 1 97 0 0 8 336
Estimating discriminatory power and PD curves when the number of defaults is small 1 1 12 174 3 6 20 357
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 1 20 0 0 2 56
Incorporating exchange rate risk into PDs and asset correlations 0 0 0 27 1 1 2 80
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 0 0 2 203
Measuring the Discriminative Power of Rating Systems 0 0 2 332 1 2 10 1,496
Proving prediction prudence 0 0 0 10 0 1 3 31
Recalibrating binary probabilistic classifiers 0 1 4 4 0 3 4 4
Remarks on the monotonicity of default probabilities 0 0 1 27 0 0 3 83
The art of probability-of-default curve calibration 0 0 1 94 2 4 12 243
The single risk factor approach to capital charges in case of correlated loss given default rates 0 0 1 71 0 0 3 177
Validation of internal rating systems and PD estimates 0 1 4 155 0 2 10 350
What is the best risk measure in practice? A comparison of standard measures 1 1 2 110 4 5 8 232
Total Working Papers 4 7 47 2,084 16 34 153 6,218

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 0 1 2
Bayesian estimation of probabilities of default for low default portfolios 1 1 2 6 1 1 5 15
Bounds for rating override rates 0 0 0 0 0 1 3 3
Calculating credit risk capital charges with the one-factor model 0 0 1 1 0 2 11 11
Capital allocation for credit portfolios with kernel estimators 0 0 1 32 1 1 2 103
Exact Fit of Simple Finite Mixture Models 0 0 0 3 0 1 1 46
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 0 2 5 33 4 18 29 170
Expected shortfall and beyond 0 0 0 225 0 0 3 478
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds 0 0 0 0 0 0 0 0
Measuring sectoral diversification in an asymptotic multifactor framework 0 0 0 0 0 1 9 9
On the coherence of expected shortfall 1 4 6 638 4 20 35 1,701
THE NUMERICS OF PREMIUM BONDS 0 0 0 7 0 2 4 32
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 0 1 1 42
The art of probability-of-default curve calibration 0 0 1 1 2 2 4 4
What is the best risk measure in practice? A comparison of standard measures 0 0 0 0 0 0 0 0
Total Journal Articles 2 7 16 951 12 50 108 2,616

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 5 8 35 82
Total Chapters 0 0 1 1 5 8 35 82

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Statistics updated 2025-10-06