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Dirk Tasche

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This is information that was supplied by Dirk Tasche in registering through RePEc. If you are Dirk Tasche , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Dirk
Middle Name:
Last Name: Tasche
Suffix:

RePEc Short-ID: pta409

Email: [This author has chosen not to make the email address public]
Homepage: http://scholar.google.com/citations?sortby=pubdate&hl=en&user=zald4-AAAAAJ
Postal Address:
Phone:

Affiliation

Prudential Regulation Authority
Bank of England
Location: London, United Kingdom
Homepage: http://www.bankofengland.co.uk/pra
Email:
Phone: +44 (0)20 7601 4878
Fax: +44 (020) 7601 5460
Postal: 20 Moorgate, London, EC2R 6DA
Handle: RePEc:edi:pragvuk (more details at EDIRC)

Works

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Working papers

  1. Dirk Tasche, 2012. "Bounds for rating override rates," Papers 1203.2287, arXiv.org, revised Aug 2012.
  2. Dirk Tasche, 2012. "The art of PD curve calibration," Papers 1212.3716, arXiv.org, revised Apr 2013.
  3. Dirk Tasche, 2011. "Bayesian estimation of probabilities of default for low default portfolios," Papers 1112.5550, arXiv.org, revised Apr 2012.
  4. Dirk Tasche, 2010. "Loss distributions conditional on defaults," Papers 1002.2604, arXiv.org.
  5. Norbert Jobst & Dirk Tasche, 2010. "Capital allocation for credit portfolios under normal and stressed market conditions," Papers 1009.5401, arXiv.org, revised Mar 2012.
  6. Dirk Tasche, 2009. "Estimating discriminatory power and PD curves when the number of defaults is small," Papers 0905.3928, arXiv.org, revised Mar 2010.
  7. Dirk Tasche, 2007. "Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle," Papers 0708.2542, arXiv.org, revised Jun 2008.
  8. Dirk Tasche, 2007. "Incorporating exchange rate risk into PDs and asset correlations," Papers 0712.3363, arXiv.org.
  9. Dirk Tasche, 2006. "Validation of internal rating systems and PD estimates," Papers physics/0606071, arXiv.org.
  10. Dirk Tasche, 2006. "Capital allocation for credit portfolios with kernel estimators," Papers math/0612470, arXiv.org, revised May 2008.
  11. Dirk Tasche, 2005. "Measuring sectoral diversification in an asymptotic multi-factor framework," Papers physics/0505142, arXiv.org, revised Jul 2006.
  12. Dirk Tasche, 2004. "The single risk factor approach to capital charges in case of correlated loss given default rates," Papers cond-mat/0402390, arXiv.org, revised Feb 2004.
  13. Katja Pluto & Dirk Tasche, 2004. "Estimating Probabilities of Default for Low Default Portfolios," Papers cond-mat/0411699, arXiv.org, revised Apr 2005.
  14. Engelmann, Bernd & Hayden, Evelyn & Tasche, Dirk, 2003. "Measuring the Discriminative Power of Rating Systems," Discussion Paper Series 2: Banking and Financial Studies 2003,01, Deutsche Bundesbank, Research Centre.
  15. Dirk Tasche & Ursula Theiler, 2003. "Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk," Papers cond-mat/0309003, arXiv.org, revised Feb 2004.
  16. Susanne Emmer & Dirk Tasche, 2003. "Calculating credit risk capital charges with the one-factor model," Papers cond-mat/0302402, arXiv.org, revised Jan 2005.
  17. Dirk Tasche, 2003. "A traffic lights approach to PD validation," Papers cond-mat/0305038, arXiv.org.
  18. Dirk Tasche, 2002. "Expected Shortfall and Beyond," Papers cond-mat/0203558, arXiv.org, revised Oct 2002.
  19. Dirk Tasche & Luisa Tibiletti, 2002. "A shortcut to sign Incremental Value-at-Risk for risk allocation," Papers cond-mat/0204593, arXiv.org, revised Oct 2002.
  20. Dirk Tasche, 2002. "Remarks on the monotonicity of default probabilities," Papers cond-mat/0207555, arXiv.org.
  21. Alexandre Kurth & Dirk Tasche, 2002. "Credit Risk Contributions to Value-at-Risk and Expected Shortfall," Papers cond-mat/0207750, arXiv.org, revised Nov 2002.
  22. Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
  23. Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.
  24. Dirk Tasche, 2001. "Conditional Expectation as Quantile Derivative," Papers math/0104190, arXiv.org.
  25. Hermann Haaf & Dirk Tasche, 2001. "Calculating Value-at-Risk contributions in CreditRisk+," Papers cond-mat/0112045, arXiv.org, revised Mar 2002.

Articles

  1. Dirk Tasche, 2009. "Capital allocation for credit portfolios with kernel estimators," Quantitative Finance, Taylor and Francis Journals, vol. 9(5), pages 581-595.
  2. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
  3. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2010-02-27
  2. NEP-ECM: Econometrics (2) 2009-09-26 2012-01-03. Author is listed
  3. NEP-RMG: Risk Management (3) 2010-02-27 2010-10-09 2012-01-03. Author is listed

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