46 citations · 94 across the 3 of their papers we have counts for
8 papers
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…
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…
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…
Measuring sectoral diversification in an asymptotic multi-factor framework
Dirk Tasche
We investigate a multi-factor extension of the asymptotic single risk factor (ASRF) model that underlies the capital charges of the "Basel II Accord". In this extended model, it is…
Estimating Probabilities of Default for Low Default Portfolios
Katja Pluto, Dirk Tasche
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrow…
The single risk factor approach to capital charges in case of correlated loss given default rates
Dirk Tasche
A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGD and default event w…