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 1 97
A traffic lights approach to PD validation 0 2 7 115 0 5 14 284
Bayesian estimation of probabilities of default for low default portfolios 0 1 3 142 1 5 10 276
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 10 234
Calculating credit risk capital charges with the one-factor model 1 1 2 119 1 4 12 375
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 1 2 6 185 10 17 32 610
Capital allocation for credit portfolios under normal and stressed market conditions 0 0 1 65 2 2 3 178
Conditional Expectation as Quantile Derivative 0 0 1 55 2 2 7 167
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 3 10 10 178
Estimating Probabilities of Default for Low Default Portfolios 0 0 1 97 3 7 14 343
Estimating discriminatory power and PD curves when the number of defaults is small 0 2 12 175 2 6 20 360
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 0 20 0 0 0 56
Incorporating exchange rate risk into PDs and asset correlations 0 0 0 27 0 4 5 83
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 2 5 6 208
Measuring the Discriminative Power of Rating Systems 0 0 1 332 3 6 11 1,501
Proving prediction prudence 0 0 0 10 0 1 4 32
Recalibrating binary probabilistic classifiers 0 1 5 5 0 3 7 7
Remarks on the monotonicity of default probabilities 0 0 1 27 0 1 4 84
The art of probability-of-default curve calibration 0 1 1 95 1 9 15 250
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 3 156 1 3 9 353
What is the best risk measure in practice? A comparison of standard measures 0 1 2 110 0 9 12 237
Total Working Papers 2 12 47 2,092 32 110 215 6,312

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 1 2 3
Bayesian estimation of probabilities of default for low default portfolios 0 1 2 6 1 3 5 17
Bounds for rating override rates 0 0 0 0 0 0 3 3
Calculating credit risk capital charges with the one-factor model 1 1 2 2 2 4 15 15
Capital allocation for credit portfolios with kernel estimators 0 0 0 32 0 2 2 104
Exact Fit of Simple Finite Mixture Models 0 0 0 3 1 2 3 48
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 3 5 9 38 12 25 49 191
Expected shortfall and beyond 0 0 0 225 0 2 4 480
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 1 1 10 10
On the coherence of expected shortfall 0 2 7 639 16 31 59 1,728
THE NUMERICS OF PREMIUM BONDS 0 0 0 7 3 4 7 36
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 0 1 2 43
The art of probability-of-default curve calibration 0 0 1 1 1 4 6 6
What is the best risk measure in practice? A comparison of standard measures 0 1 1 1 2 3 3 3
Total Journal Articles 4 10 22 959 40 83 170 2,687

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 11 24 50 101
Total Chapters 0 0 1 1 11 24 50 101

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Statistics updated 2025-12-06