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 0 1 5 113 0 2 14 279
Bayesian estimation of probabilities of default for low default portfolios 0 2 3 141 0 2 7 271
Bounds for rating override rates 0 0 0 39 0 2 3 151
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 0 1 2 68
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 0 0 2 226
Calculating credit risk capital charges with the one-factor model 0 0 0 117 1 1 7 369
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 0 5 183 0 3 17 592
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 1 8 165
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 0 0 1 168
Estimating Probabilities of Default for Low Default Portfolios 0 1 1 97 0 2 9 336
Estimating discriminatory power and PD curves when the number of defaults is small 0 4 11 173 1 5 15 352
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 0 0 1 79
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 3 332 1 2 13 1,495
Proving prediction prudence 0 0 0 10 0 1 2 30
Recalibrating binary probabilistic classifiers 1 4 4 4 2 3 3 3
Remarks on the monotonicity of default probabilities 0 0 2 27 0 0 4 83
The art of probability-of-default curve calibration 0 0 2 94 1 3 11 240
The single risk factor approach to capital charges in case of correlated loss given default rates 0 1 1 71 0 1 3 177
Validation of internal rating systems and PD estimates 1 1 4 155 1 1 11 349
What is the best risk measure in practice? A comparison of standard measures 0 0 1 109 0 0 3 227
Total Working Papers 2 14 45 2,079 7 30 141 6,191

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 2 2
Bayesian estimation of probabilities of default for low default portfolios 0 1 1 5 0 1 4 14
Bounds for rating override rates 0 0 0 0 1 3 3 3
Calculating credit risk capital charges with the one-factor model 0 0 1 1 1 1 10 10
Capital allocation for credit portfolios with kernel estimators 0 0 1 32 0 0 1 102
Exact Fit of Simple Finite Mixture Models 0 0 0 3 0 0 0 45
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 1 1 4 32 6 6 18 158
Expected shortfall and beyond 0 0 0 225 0 1 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 1 2 9 9
On the coherence of expected shortfall 1 2 3 635 6 10 22 1,687
THE NUMERICS OF PREMIUM BONDS 0 0 0 7 1 1 3 31
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 0 0 0 41
The art of probability-of-default curve calibration 0 0 1 1 0 0 2 2
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 4 11 946 16 26 77 2,582

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 0 5 30 74
Total Chapters 0 0 1 1 0 5 30 74

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Statistics updated 2025-08-05