78 citations · 341 across the 31 of their papers we have counts for
4 papers · 1 filter
A traffic lights approach to PD validation
Dirk Tasche
As a consequence of the dependence experienced in loan portfolios, the standard binomial test which is based on the assumption of independence does not appear appropriate for valid…
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…
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…
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…