IDEAS home Printed from https://ideas.repec.org/d/cbnwuza.html

Publications

by members of

North-West University → Centre for Business Mathematics and Informatics

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2025

  1. Dirk Tasche, 2025, "Recalibrating binary probabilistic classifiers," Papers, arXiv.org, number 2505.19068, May, revised Jan 2026.

2020

  1. Dirk Tasche, 2020, "Proving prediction prudence," Papers, arXiv.org, number 2005.03698, May, revised Sep 2022.

2015

  1. Dirk Tasche, 2015, "Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds," Papers, arXiv.org, number 1505.07484, May, revised Nov 2015.
      Unknown

2013

  1. Susanne Emmer & Marie Kratz & Dirk Tasche, 2013, "What is the best risk measure in practice? A comparison of standard measures," Papers, arXiv.org, number 1312.1645, Dec, revised Apr 2015.
      Unknown

2012

  1. Dirk Tasche, 2012, "Bounds for rating override rates," Papers, arXiv.org, number 1203.2287, Mar, revised Aug 2012.
      Unknown
  2. Dirk Tasche, 2012, "The art of probability-of-default curve calibration," Papers, arXiv.org, number 1212.3716, Dec, revised Nov 2013.
      Unknown

2011

  1. Dirk Tasche, 2011, "Bayesian estimation of probabilities of default for low default portfolios," Papers, arXiv.org, number 1112.5550, Dec, revised Aug 2013.

2010

  1. Norbert Jobst & Dirk Tasche, 2010, "Capital allocation for credit portfolios under normal and stressed market conditions," Papers, arXiv.org, number 1009.5401, Sep, revised Mar 2012.

2009

  1. Dirk Tasche, 2009, "Estimating discriminatory power and PD curves when the number of defaults is small," Papers, arXiv.org, number 0905.3928, May, revised Mar 2010.

2007

  1. Dirk Tasche, 2007, "Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle," Papers, arXiv.org, number 0708.2542, Aug, revised Jun 2008.
  2. Dirk Tasche, 2007, "Incorporating exchange rate risk into PDs and asset correlations," Papers, arXiv.org, number 0712.3363, Dec.

2006

  1. Dirk Tasche, 2006, "Validation of internal rating systems and PD estimates," Papers, arXiv.org, number physics/0606071, Jun.

2005

  1. Dirk Tasche, 2005, "Measuring sectoral diversification in an asymptotic multi-factor framework," Papers, arXiv.org, number physics/0505142, May, revised Jul 2006.
      Unknown

2004

  1. Dirk Tasche, 2004, "The single risk factor approach to capital charges in case of correlated loss given default rates," Papers, arXiv.org, number cond-mat/0402390, Feb, revised Feb 2004.
  2. Katja Pluto & Dirk Tasche, 2004, "Estimating Probabilities of Default for Low Default Portfolios," Papers, arXiv.org, number cond-mat/0411699, Nov, revised Apr 2005.

2003

  1. Susanne Emmer & Dirk Tasche, 2003, "Calculating credit risk capital charges with the one-factor model," Papers, arXiv.org, number cond-mat/0302402, Feb, revised Jan 2005.
      Unknown
  2. Dirk Tasche, 2003, "A traffic lights approach to PD validation," Papers, arXiv.org, number cond-mat/0305038, May.
  3. Dirk Tasche & Ursula Theiler, 2003, "Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk," Papers, arXiv.org, number cond-mat/0309003, Sep, revised Feb 2004.
  4. Engelmann, Bernd & Hayden, Evelyn & Tasche, Dirk, 2003, "Measuring the Discriminative Power of Rating Systems," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2003,01.

2002

  1. Dirk Tasche & Luisa Tibiletti, 2002, "A shortcut to sign Incremental Value-at-Risk for risk allocation," Papers, arXiv.org, number cond-mat/0204593, Apr, revised Oct 2002.
  2. Dirk Tasche, 2002, "Remarks on the monotonicity of default probabilities," Papers, arXiv.org, number cond-mat/0207555, Jul.
  3. Alexandre Kurth & Dirk Tasche, 2002, "Credit Risk Contributions to Value-at-Risk and Expected Shortfall," Papers, arXiv.org, number cond-mat/0207750, Jul, revised Nov 2002.

2001

  1. Hermann Haaf & Dirk Tasche, 2001, "Calculating Value-at-Risk contributions in CreditRisk+," Papers, arXiv.org, number cond-mat/0112045, Dec, revised Mar 2002.
  2. Dirk Tasche, 2001, "Conditional Expectation as Quantile Derivative," Papers, arXiv.org, number math/0104190, Apr.

Journal articles

2015

  1. Dirk Tasche, 2015, "The Numerics Of Premium Bonds," Journal of Gambling Business and Economics, University of Buckingham Press, volume 9, issue 3, pages 14-33.
  2. Dirk Tasche, 2015, "The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions," JRFM, MDPI, volume 9, issue 1, pages 1-18, December.

2014

  1. Dirk Tasche, 2014, "Exact Fit of Simple Finite Mixture Models," JRFM, MDPI, volume 7, issue 4, pages 1-15, November.

2013

  1. Tasche, Dirk, 2013, "Bayesian estimation of probabilities of default for low default portfolios," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 6, issue 3, pages 302-326, July.

2009

  1. Dirk Tasche, 2009, "Capital allocation for credit portfolios with kernel estimators," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 5, pages 581-595, DOI: 10.1080/14697680802620599.

2003

  1. Dirk Tasche & Luisa Tibiletti, 2003, "A Shortcut to Sign Incremental Value at Risk for Risk Allocation," Journal of Risk Finance, Emerald Group Publishing Limited, volume 4, issue 2, pages 43-46, January, DOI: 10.1108/eb022960.

2002

  1. Carlo Acerbi & Dirk Tasche, 2002, "Expected Shortfall: A Natural Coherent Alternative to Value at Risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 31, issue 2, pages 379-388, July.
  2. Acerbi, Carlo & Tasche, Dirk, 2002, "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, volume 26, issue 7, pages 1487-1503, July.
  3. Tasche, Dirk, 2002, "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, volume 26, issue 7, pages 1519-1533, July.

Chapters

2006

  1. Katja Pluto & Dirk Tasche, 2006, "Estimating Probabilities of Default for Low Default Portfolios," Springer Books, Springer, chapter 0, in: Bernd Engelmann & Robert Rauhmeier, "The Basel II Risk Parameters", DOI: 10.1007/3-540-33087-9_5.

2003

  1. D. Tasche, 2003, "Unbiasedness in Least Quantile Regression," Springer Books, Springer, in: Rudolf Dutter & Peter Filzmoser & Ursula Gather & Peter J. Rousseeuw, "Developments in Robust Statistics", DOI: 10.1007/978-3-642-57338-5_33.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.