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 7 103
A traffic lights approach to PD validation 0 3 5 118 2 6 30 309
Bayesian estimation of probabilities of default for low default portfolios 0 0 4 145 0 1 17 288
Bounds for rating override rates 0 1 1 40 0 1 9 160
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 0 0 3 71
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 1 1 19 245
Calculating credit risk capital charges with the one-factor model 0 0 3 120 0 1 22 391
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 1 5 188 2 7 47 639
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 1 12 177
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 0 0 13 181
Estimating Probabilities of Default for Low Default Portfolios 0 0 6 103 1 5 41 377
Estimating discriminatory power and PD curves when the number of defaults is small 0 0 2 175 0 2 39 391
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 0 20 0 1 4 60
Incorporating exchange rate risk into PDs and asset correlations 0 0 0 27 0 0 6 85
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 0 1 11 214
Measuring the Discriminative Power of Rating Systems 1 2 4 336 2 5 27 1,522
Proving prediction prudence 0 0 0 10 1 2 10 40
Recalibrating binary probabilistic classifiers 0 0 2 6 0 1 17 20
Remarks on the monotonicity of default probabilities 0 0 1 28 0 0 8 91
The art of probability-of-default curve calibration 0 0 2 96 2 3 26 266
The single risk factor approach to capital charges in case of correlated loss given default rates 0 0 2 73 0 0 4 181
Validation of internal rating systems and PD estimates 0 0 2 157 1 3 10 359
What is the best risk measure in practice? A comparison of standard measures 0 0 1 110 0 2 15 242
Total Working Papers 1 7 40 2,119 12 43 400 6,591

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 9 11
Bayesian estimation of probabilities of default for low default portfolios 0 0 1 6 0 2 16 30
Bounds for rating override rates 0 0 1 1 1 1 12 15
Calculating credit risk capital charges with the one-factor model 0 0 2 3 0 1 24 34
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 8 53
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 1 3 16 48 5 15 82 240
Expected shortfall and beyond 0 0 1 226 2 4 16 494
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 0 0 10 19
On the coherence of expected shortfall 1 7 14 649 3 23 188 1,875
THE NUMERICS OF PREMIUM BONDS 0 0 2 9 1 1 14 45
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 0 1 11 52
The art of probability-of-default curve calibration 0 0 1 2 0 3 19 21
What is the best risk measure in practice? A comparison of standard measures 0 0 2 2 1 2 12 12
Total Journal Articles 2 10 40 986 14 55 450 3,032

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 13 77 151
Unbiasedness in Least Quantile Regression 0 0 0 0 0 0 3 3
Total Chapters 0 0 0 1 2 13 80 154

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Statistics updated 2026-08-07