78 citations · 341 across the 31 of their papers we have counts for
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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-mat.stat-mech2001★ 1 cited
Calculating Value-at-Risk contributions in CreditRisk+
Hermann Haaf, Dirk Tasche
Credit Suisse First Boston (CSFB) launched in 1997 the model CreditRisk+ which aims at calculating the loss distribution of a credit portfolio on the basis of a methodology from ac…
cond-mat.stat-mech2001
Expected Shortfall: a natural coherent alternative to Value at Risk
Carlo Acerbi, Dirk Tasche
We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p %…