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Dirk Tasche

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
[This author has chosen not to make the email address public]
http://scholar.google.com/citations?sortby=pubdate&hl=en&user=zald4-AAAAAJ
Bern, Switzerland
http://www.finma.ch/

: +41 (0)31 327 91 00
+41 (0)31 327 81 01
Einsteinstrasse 2, Postfach, CH-3003 Bern
RePEc:edi:ebkgvch (more details at EDIRC)
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  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.
  2. 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.
  3. Dirk Tasche, 2012. "Bounds for rating override rates," Papers 1203.2287, arXiv.org, revised Aug 2012.
  4. Dirk Tasche, 2012. "The art of probability-of-default curve calibration," Papers 1212.3716, arXiv.org, revised Nov 2013.
  5. Dirk Tasche, 2011. "Bayesian estimation of probabilities of default for low default portfolios," Papers 1112.5550, arXiv.org, revised Aug 2013.
  6. Norbert Jobst & Dirk Tasche, 2010. "Capital allocation for credit portfolios under normal and stressed market conditions," Papers 1009.5401, arXiv.org, revised Mar 2012.
  7. Dirk Tasche, 2009. "Estimating discriminatory power and PD curves when the number of defaults is small," Papers 0905.3928, arXiv.org, revised Mar 2010.
  8. Dirk Tasche, 2007. "Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle," Papers 0708.2542, arXiv.org, revised Jun 2008.
  9. Dirk Tasche, 2007. "Incorporating exchange rate risk into PDs and asset correlations," Papers 0712.3363, arXiv.org.
  10. Dirk Tasche, 2006. "Validation of internal rating systems and PD estimates," Papers physics/0606071, arXiv.org.
  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. Susanne Emmer & Dirk Tasche, 2003. "Calculating credit risk capital charges with the one-factor model," Papers cond-mat/0302402, arXiv.org, revised Jan 2005.
  15. 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.
  16. Dirk Tasche, 2003. "A traffic lights approach to PD validation," Papers cond-mat/0305038, arXiv.org.
  17. Dirk Tasche & Ursula Theiler, 2003. "Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk," Papers cond-mat/0309003, arXiv.org, revised Feb 2004.
  18. 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.
  19. Dirk Tasche, 2002. "Remarks on the monotonicity of default probabilities," Papers cond-mat/0207555, arXiv.org.
  20. Alexandre Kurth & Dirk Tasche, 2002. "Credit Risk Contributions to Value-at-Risk and Expected Shortfall," Papers cond-mat/0207750, arXiv.org, revised Nov 2002.
  21. Hermann Haaf & Dirk Tasche, 2001. "Calculating Value-at-Risk contributions in CreditRisk+," Papers cond-mat/0112045, arXiv.org, revised Mar 2002.
  22. Dirk Tasche, 2001. "Conditional Expectation as Quantile Derivative," Papers math/0104190, arXiv.org.
  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, December.
  2. Dirk Tasche, 2014. "Exact Fit of Simple Finite Mixture Models," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(4), pages 150, November.
  3. Dirk Tasche, 2009. "Capital allocation for credit portfolios with kernel estimators," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 581-595.
  4. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
  5. 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, 07.
  6. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (3) 2010-10-09 2012-01-03 2013-12-15. Author is listed
  2. NEP-ECM: Econometrics (2) 2009-09-26 2012-01-03. Author is listed

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