78 citations · 341 across the 31 of their papers we have counts for
10 papers · 1 filter
Proving prediction prudence
Dirk Tasche
We study how to perform tests on samples of pairs of observations and predictions in order to assess whether or not the predictions are prudent. Prudence requires that that the mea…
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds
Dirk Tasche
Covered bonds are a specific example of senior secured debt. If the issuer of the bonds defaults the proceeds of the assets in the cover pool are used for their debt service. If in…
What is the best risk measure in practice? A comparison of standard measures
Susanne Emmer, Marie Kratz, Dirk Tasche
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issue…
The art of probability-of-default curve calibration
Dirk Tasche
PD curve calibration refers to the transformation of a set of rating grade level probabilities of default (PDs) to another average PD level that is determined by a change of the un…
Bounds for rating override rates
Dirk Tasche
Overrides of credit ratings are important correctives of ratings that are determined by statistical rating models. Financial institutions and banking regulators agree on this becau…
Bayesian estimation of probabilities of default for low default portfolios
Dirk Tasche
The estimation of probabilities of default (PDs) for low default portfolios by means of upper confidence bounds is a well established procedure in many financial institutions. Howe…