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 0 0 2 115 1 8 25 304
Bayesian estimation of probabilities of default for low default portfolios 0 0 4 145 1 4 17 288
Bounds for rating override rates 0 0 0 39 0 3 10 159
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 4 18 244
Calculating credit risk capital charges with the one-factor model 0 0 3 120 1 8 23 391
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle 1 3 5 188 2 13 42 634
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 11 176
Credit Risk Contributions to Value-at-Risk and Expected Shortfall 0 0 0 36 0 1 13 181
Estimating Probabilities of Default for Low Default Portfolios 0 2 6 103 1 13 37 373
Estimating discriminatory power and PD curves when the number of defaults is small 0 0 5 175 1 7 42 390
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds 0 0 0 20 1 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 0 1 10 213
Measuring the Discriminative Power of Rating Systems 1 2 3 335 2 11 25 1,519
Proving prediction prudence 0 0 0 10 1 3 9 39
Recalibrating binary probabilistic classifiers 0 0 6 6 1 6 20 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 1 5 27 264
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 2 9 357
What is the best risk measure in practice? A comparison of standard measures 0 0 1 110 1 2 14 241
Total Working Papers 2 8 43 2,114 15 101 387 6,563

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 2 6 1 6 16 29
Bounds for rating override rates 0 1 1 1 0 4 14 14
Calculating credit risk capital charges with the one-factor model 0 0 2 3 1 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 0 1 7 52
Expected Shortfall: A Natural Coherent Alternative to Value at Risk 2 4 16 47 6 15 79 231
Expected shortfall and beyond 0 0 1 226 0 2 13 490
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 6 11 19
On the coherence of expected shortfall 3 4 11 645 9 23 181 1,861
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 1 4 11 52
The art of probability-of-default curve calibration 0 0 1 2 2 6 18 20
What is the best risk measure in practice? A comparison of standard measures 0 0 2 2 1 3 11 11
Total Journal Articles 5 10 38 981 21 87 437 2,998

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 9 25 76 147
Unbiasedness in Least Quantile Regression 0 0 0 0 0 2 3 3
Total Chapters 0 0 0 1 9 27 79 150

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Statistics updated 2026-06-04