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 2 8 111 2 4 19 275
Bayesian estimation of probabilities of default for low default portfolios 0 0 1 139 3 3 5 269
Bounds for rating override rates 0 0 0 39 0 0 1 149
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 1 1 1 67
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 2 2 3 226
Calculating credit risk capital charges with the one-factor model 0 0 1 117 2 4 7 368
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 1 7 183 5 7 19 588
Capital allocation for credit portfolios under normal and stressed market conditions 1 1 1 65 1 1 1 176
Conditional Expectation as Quantile Derivative 0 0 2 55 1 3 11 164
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 0 1 96 1 2 9 332
Estimating discriminatory power and PD curves when the number of defaults is small 0 1 3 165 1 2 8 343
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 1 20 0 0 3 56
Incorporating exchange rate risk into PDs and asset correlations 0 0 0 27 1 1 1 79
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 0 0 1 202
Measuring the Discriminative Power of Rating Systems 0 1 5 332 0 2 13 1,492
Proving prediction prudence 0 0 0 10 0 0 1 29
Remarks on the monotonicity of default probabilities 0 1 2 27 1 3 6 83
The art of probability-of-default curve calibration 0 0 4 94 1 1 12 237
The single risk factor approach to capital charges in case of correlated loss given default rates 0 0 0 70 1 1 2 176
Validation of internal rating systems and PD estimates 0 0 3 154 0 1 13 348
What is the best risk measure in practice? A comparison of standard measures 1 1 2 109 2 2 5 227
Total Working Papers 3 8 41 2,060 25 40 142 6,150

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 1
Bayesian estimation of probabilities of default for low default portfolios 0 0 1 4 1 1 4 13
Bounds for rating override rates 0 0 0 0 0 0 0 0
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 0 1 2 30 0 7 12 150
Expected shortfall and beyond 0 0 0 225 0 1 3 477
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 7 7 7
On the coherence of expected shortfall 0 1 3 633 1 5 14 1,675
THE NUMERICS OF PREMIUM BONDS 0 0 0 7 0 1 2 30
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 1 1 1 0 2 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 0 3 8 940 2 24 46 2,543

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 1 1 1 4 10 26 62
Total Chapters 0 1 1 1 4 10 26 62

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Statistics updated 2025-04-04