78 citations · 341 across the 31 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…