output
20012025
most citedCalculating credit risk capital charges with the one-factor model

78 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2002Show all

4 papers · 1 filter

cond-mat2002★ 6 cited

Remarks on the monotonicity of default probabilities

Dirk Tasche

The consultative papers for the Basel II Accord require rating systems to provide a ranking of obligors in the sense that the rating categories indicate the creditworthiness in ter…

cond-mat2002★ 8 cited

Credit Risk Contributions to Value-at-Risk and Expected Shortfall

Alexandre Kurth, Dirk Tasche

This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the CreditRisk+ methodology. V…

cond-mat.stat-mech2002

A shortcut to sign Incremental Value-at-Risk for risk allocation

Dirk Tasche, Luisa Tibiletti

Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and bet…

cond-mat2002★ 22 cited

Expected Shortfall and Beyond

Dirk Tasche

Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology o…