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 2 7 103
A traffic lights approach to PD validation 3 3 5 118 3 9 28 307
Bayesian estimation of probabilities of default for low default portfolios 0 0 4 145 0 3 17 288
Bounds for rating override rates 1 1 1 40 1 4 9 160
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk 0 0 0 19 0 1 3 71
Calculating Value-at-Risk contributions in CreditRisk+ 0 0 0 89 0 3 18 244
Calculating credit risk capital charges with the one-factor model 0 0 3 120 0 6 23 391
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 0 2 5 188 3 11 45 637
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 1 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 1 6 103 3 12 40 376
Estimating discriminatory power and PD curves when the number of defaults is small 0 0 2 175 1 4 40 391
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 1 6 85
Measuring sectoral diversification in an asymptotic multi-factor framework 0 0 0 75 1 2 11 214
Measuring the Discriminative Power of Rating Systems 0 1 3 335 1 6 26 1,520
Proving prediction prudence 0 0 0 10 0 3 9 39
Recalibrating binary probabilistic classifiers 0 0 3 6 0 6 19 20
Remarks on the monotonicity of default probabilities 0 1 1 28 0 3 8 91
The art of probability-of-default curve calibration 0 0 2 96 0 3 25 264
The single risk factor approach to capital charges in case of correlated loss given default rates 0 0 2 73 0 1 4 181
Validation of internal rating systems and PD estimates 0 0 3 157 1 3 10 358
What is the best risk measure in practice? A comparison of standard measures 0 0 1 110 1 2 15 242
Total Working Papers 4 9 41 2,118 16 87 395 6,579

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 4 8 10
Bayesian estimation of probabilities of default for low default portfolios 0 0 1 6 1 5 16 30
Bounds for rating override rates 0 0 1 1 0 3 12 14
Calculating credit risk capital charges with the one-factor model 0 0 2 3 0 6 25 34
Capital allocation for credit portfolios with kernel estimators 0 0 0 32 0 4 23 125
Exact Fit of Simple Finite Mixture Models 0 0 0 3 1 2 8 53
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 0 2 16 47 4 13 83 235
Expected shortfall and beyond 0 0 1 226 2 3 14 492
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds 0 0 0 0 0 1 6 6
Measuring sectoral diversification in an asymptotic multifactor framework 0 0 0 0 0 5 11 19
On the coherence of expected shortfall 3 6 14 648 11 29 191 1,872
THE NUMERICS OF PREMIUM BONDS 0 1 2 9 0 2 14 44
The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions 0 0 0 5 0 4 11 52
The art of probability-of-default curve calibration 0 0 1 2 1 7 19 21
What is the best risk measure in practice? A comparison of standard measures 0 0 2 2 0 1 11 11
Total Journal Articles 3 9 40 984 20 89 452 3,018

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 21 75 149
Unbiasedness in Least Quantile Regression 0 0 0 0 0 1 3 3
Total Chapters 0 0 0 1 2 22 78 152

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Statistics updated 2026-07-10