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 1 97
A traffic lights approach to PD validation 1 2 7 115 4 5 17 284
Bayesian estimation of probabilities of default for low default portfolios 1 1 3 142 4 4 10 275
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 2 2 4 70
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 6 7 9 233
Calculating credit risk capital charges with the one-factor model 0 1 1 118 3 5 11 374
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 1 6 184 5 8 24 600
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 5 165
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 6 7 7 175
Estimating Probabilities of Default for Low Default Portfolios 0 0 1 97 4 4 12 340
Estimating discriminatory power and PD curves when the number of defaults is small 1 2 12 175 1 6 19 358
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 0 20 0 0 1 56
Incorporating exchange rate risk into PDs and asset correlations 0 0 0 27 3 4 5 83
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 3 3 4 206
Measuring the Discriminative Power of Rating Systems 0 0 1 332 2 3 10 1,498
Proving prediction prudence 0 0 0 10 1 2 4 32
Recalibrating binary probabilistic classifiers 1 1 5 5 3 4 7 7
Remarks on the monotonicity of default probabilities 0 0 1 27 1 1 4 84
The art of probability-of-default curve calibration 1 1 1 95 6 9 14 249
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 1 1 5 156 2 3 11 352
What is the best risk measure in practice? A comparison of standard measures 0 1 2 110 5 10 12 237
Total Working Papers 6 11 48 2,090 62 89 198 6,280

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 0 1 2 6 1 2 5 16
Bounds for rating override rates 0 0 0 0 0 0 3 3
Calculating credit risk capital charges with the one-factor model 0 0 1 1 2 3 13 13
Capital allocation for credit portfolios with kernel estimators 0 0 1 32 1 2 3 104
Exact Fit of Simple Finite Mixture Models 0 0 0 3 1 2 2 47
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 2 3 7 35 9 21 38 179
Expected shortfall and beyond 0 0 0 225 2 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 0 0 9 9
On the coherence of expected shortfall 1 4 7 639 11 25 43 1,712
THE NUMERICS OF PREMIUM BONDS 0 0 0 7 1 2 5 33
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 1 2 2 43
The art of probability-of-default curve calibration 0 0 1 1 1 3 5 5
What is the best risk measure in practice? A comparison of standard measures 1 1 1 1 1 1 1 1
Total Journal Articles 4 9 20 955 31 65 134 2,647

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 8 16 43 90
Total Chapters 0 0 1 1 8 16 43 90

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-11-08