78 citations · 341 across the 31 of their papers we have counts for
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math.ST2006★ 45 cited
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…
physics.soc-ph2006★ 18 cited
Validation of internal rating systems and PD estimates
Dirk Tasche
This paper elaborates on the validation requirements for rating systems and probabilities of default (PDs) which were introduced with the New Capital Standards (Basel II). We start…