Dirk Tasche
Names
| first: | Dirk |
| last: | Tasche |
Identifer
| RePEc Short-ID: | pta409 |
Contact
| homepage: | http://scholar.google.com/citations?sortby=pubdate&hl=en&user=zald4-AAAAAJ |
Affiliations
-
Government of Switzerland
/ Eidgenössische Finanzmarktaufsicht (FINMA)
- EDIRC entry
- location:
Research profile
author of:
- Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle (RePEc:arx:papers:0708.2542)
by Dirk Tasche - Incorporating exchange rate risk into PDs and asset correlations (RePEc:arx:papers:0712.3363)
by Dirk Tasche - Estimating discriminatory power and PD curves when the number of defaults is small (RePEc:arx:papers:0905.3928)
by Dirk Tasche - Capital allocation for credit portfolios under normal and stressed market conditions (RePEc:arx:papers:1009.5401)
by Norbert Jobst & Dirk Tasche - Bayesian estimation of probabilities of default for low default portfolios (RePEc:arx:papers:1112.5550)
by Dirk Tasche - Bounds for rating override rates (RePEc:arx:papers:1203.2287)
by Dirk Tasche - The art of probability-of-default curve calibration (RePEc:arx:papers:1212.3716)
by Dirk Tasche - What is the best risk measure in practice? A comparison of standard measures (RePEc:arx:papers:1312.1645)
by Susanne Emmer & Marie Kratz & Dirk Tasche - Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds (RePEc:arx:papers:1505.07484)
by Dirk Tasche - Proving prediction prudence (RePEc:arx:papers:2005.03698)
by Dirk Tasche - Calculating Value-at-Risk contributions in CreditRisk+ (RePEc:arx:papers:cond-mat/0112045)
by Hermann Haaf & Dirk Tasche - A shortcut to sign Incremental Value-at-Risk for risk allocation (RePEc:arx:papers:cond-mat/0204593)
by Dirk Tasche & Luisa Tibiletti - Remarks on the monotonicity of default probabilities (RePEc:arx:papers:cond-mat/0207555)
by Dirk Tasche - Credit Risk Contributions to Value-at-Risk and Expected Shortfall (RePEc:arx:papers:cond-mat/0207750)
by Alexandre Kurth & Dirk Tasche - Calculating credit risk capital charges with the one-factor model (RePEc:arx:papers:cond-mat/0302402)
by Susanne Emmer & Dirk Tasche - A traffic lights approach to PD validation (RePEc:arx:papers:cond-mat/0305038)
by Dirk Tasche - Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk (RePEc:arx:papers:cond-mat/0309003)
by Dirk Tasche & Ursula Theiler - The single risk factor approach to capital charges in case of correlated loss given default rates (RePEc:arx:papers:cond-mat/0402390)
by Dirk Tasche - Estimating Probabilities of Default for Low Default Portfolios (RePEc:arx:papers:cond-mat/0411699)
by Katja Pluto & Dirk Tasche - Conditional Expectation as Quantile Derivative (RePEc:arx:papers:math/0104190)
by Dirk Tasche - Measuring sectoral diversification in an asymptotic multi-factor framework (RePEc:arx:papers:physics/0505142)
by Dirk Tasche - Validation of internal rating systems and PD estimates (RePEc:arx:papers:physics/0606071)
by Dirk Tasche - Bayesian estimation of probabilities of default for low default portfolios (RePEc:aza:rmfi00:y:2013:v:6:i:3:p:302-326)
by Tasche, Dirk - Expected Shortfall: A Natural Coherent Alternative to Value at Risk (RePEc:bla:ecnote:v:31:y:2002:i:2:p:379-388)
by Carlo Acerbi & Dirk Tasche - The Numerics Of Premium Bonds (RePEc:buc:jgbeco:v:9:y:2015:i:3:p:14-33)
by Dirk Tasche - On the coherence of expected shortfall (RePEc:eee:jbfina:v:26:y:2002:i:7:p:1487-1503)
by Acerbi, Carlo & Tasche, Dirk - Expected shortfall and beyond (RePEc:eee:jbfina:v:26:y:2002:i:7:p:1519-1533)
by Tasche, Dirk - A Shortcut to Sign Incremental Value at Risk for Risk Allocation (RePEc:eme:jrfpps:eb022960)
by Dirk Tasche & Luisa Tibiletti - Exact Fit of Simple Finite Mixture Models (RePEc:gam:jjrfmx:v:7:y:2014:i:4:p:150-164:d:42584)
by Dirk Tasche - The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions (RePEc:gam:jjrfmx:v:9:y:2015:i:1:p:1-:d:61528)
by Dirk Tasche - Estimating Probabilities of Default for Low Default Portfolios (RePEc:spr:sprchp:978-3-540-33087-5_5)
by Katja Pluto & Dirk Tasche - Capital allocation for credit portfolios with kernel estimators (RePEc:taf:quantf:v:9:y:2009:i:5:p:581-595)
by Dirk Tasche - Measuring the Discriminative Power of Rating Systems (RePEc:zbw:bubdp2:2225)
by Engelmann, Bernd & Hayden, Evelyn & Tasche, Dirk