46 citations · 94 across the 3 of their papers we have counts for
3 papers
q-fin.RM2007★ 3 cited
Incorporating exchange rate risk into PDs and asset correlations
Dirk Tasche
Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrow…
q-fin.PM2007★ 46 cited
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle
Dirk Tasche
Despite the fact that the Euler allocation principle has been adopted by many financial institutions for their internal capital allocation process, a comprehensive description of E…
math.ST2006★ 45 cited
Capital allocation for credit portfolios with kernel estimators
Dirk Tasche
Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is…