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Publications

by members of

Eidgenössische Finanzmarktaufsicht (FINMA)
Government of Switzerland
Bern, Switzerland

(Swiss Financial Market Supervisory Authority, )

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

2020

  1. Dirk Tasche, 2020. "Proving prediction prudence," Papers 2005.03698, arXiv.org, revised Jun 2020.

2015

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

2013

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

2012

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

2011

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

2010

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

2009

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

2007

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

2006

  1. Marc G Quintyn & Eva H. G. Hüpkes & Michael W Taylor, 2006. "Accountability Arrangements for Financial Sector Regulators," IMF Economic Issues 39, International Monetary Fund.
  2. Dirk Tasche, 2006. "Validation of internal rating systems and PD estimates," Papers physics/0606071, arXiv.org.

2005

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

2004

  1. Katja Pluto & Dirk Tasche, 2004. "Estimating Probabilities of Default for Low Default Portfolios," Papers cond-mat/0411699, arXiv.org, revised Apr 2005.
  2. 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.

2003

  1. Dirk Tasche, 2003. "A traffic lights approach to PD validation," Papers cond-mat/0305038, arXiv.org.
  2. 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.
  3. Susanne Emmer & Dirk Tasche, 2003. "Calculating credit risk capital charges with the one-factor model," Papers cond-mat/0302402, arXiv.org, revised Jan 2005.
  4. Dirk Tasche & Ursula Theiler, 2003. "Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk," Papers cond-mat/0309003, arXiv.org, revised Feb 2004.

2002

  1. Alexandre Kurth & Dirk Tasche, 2002. "Credit Risk Contributions to Value-at-Risk and Expected Shortfall," Papers cond-mat/0207750, arXiv.org, revised Nov 2002.
  2. Dirk Tasche, 2002. "Remarks on the monotonicity of default probabilities," Papers cond-mat/0207555, arXiv.org.
  3. 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.

2001

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

Journal articles

2015

  1. Dirk Tasche, 2015. "The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(1), pages 1-18, December.
  2. Dirk Tasche, 2015. "The Numerics Of Premium Bonds," Journal of Gambling Business and Economics, University of Buckingham Press, vol. 9(3), pages 14-33.

2014

  1. Dirk Tasche, 2014. "Exact Fit of Simple Finite Mixture Models," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(4), pages 1-15, November.

2012

  1. Hüpkes Eva, 2012. "The International Financial Cooperation – Recent Reforms," European Company and Financial Law Review, De Gruyter, vol. 9(2), pages 179-193, July.

2010

  1. Hüpkes Eva, 2010. "Rivalry in Resolution. How to reconcile local responsibilities and global interests?," European Company and Financial Law Review, De Gruyter, vol. 7(2), pages 216-239, January.

2009

  1. Eva Hüpkes, 2009. "Special bank resolution and shareholders' rights: balancing competing interests," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 17(3), pages 277-301, July.
  2. Dirk Tasche, 2009. "Capital allocation for credit portfolios with kernel estimators," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 581-595.

2002

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

Chapters

2016

  1. Eva H. G. Hüpkes, 2016. "Towards a Global Solution for a Global Problem," World Scientific Book Chapters, in: Asli Demirgüç-Kunt & Douglas D Evanoff & George G Kaufman (ed.),The Future of Large, Internationally Active Banks, chapter 19, pages 295-312, World Scientific Publishing Co. Pte. Ltd..

2011

  1. Eva H. G. Hüpkes, 2011. "The Last Frontier: Protecting Critical Functions Across Borders," World Scientific Book Chapters, in: Stijn Claessens & Douglas D Evanoff & George G Kaufman & Laura E Kodres (ed.),Macroprudential Regulatory Policies The New Road to Financial Stability?, chapter 15, pages 217-249, World Scientific Publishing Co. Pte. Ltd..

2005

  1. Eva H. G. Hüpkes, 2005. ""Too Big to Save" — Toward a Functional Approach to Resolving Crises in Global Financial Institutions," World Scientific Book Chapters, in: Douglas D Evanoff & George G Kaufman (ed.),Systemic Financial Crises Resolving Large Bank Insolvencies, chapter 14, pages 193-215, World Scientific Publishing Co. Pte. Ltd..

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