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Estimating probabilities of default for low default portfolios

Pluto, Katja; Tasche, Dirk - In: The Basel II risk parameters : estimation, validation, …, (pp. 79-103). 2006

Persistent link: https://www.econbiz.de/10003375962

Bounds for rating override rates

Tasche, Dirk - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 3-29

Persistent link: https://www.econbiz.de/10010077445

Expected shortfall and beyond

Tasche, Dirk - In: Journal of banking & finance 26 (2002) 7, pp. 1519-1533

Persistent link: https://www.econbiz.de/10001688699

The art of probability-of-default curve calibration

Tasche, Dirk - In: The journal of credit risk : published quarterly by … 9 (2013/14) 4, pp. 63-103

Persistent link: https://www.econbiz.de/10010233807

Bayesian estimation of probabilities of default for low default portfolios

Tasche, Dirk - In: Journal of risk management in financial institutions 6 (2012/13) 3, pp. 302-326

Persistent link: https://www.econbiz.de/10010197067

Bounds for rating override rates

Tasche, Dirk - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 3-29

Persistent link: https://www.econbiz.de/10009700476

Validation of internal rarting systems and PD estimates

Tasche, Dirk - In: The analytics of risk model validation, (pp. 169-196). 2008

Persistent link: https://www.econbiz.de/10003868698

Capital allocation with CreditRisk+

Tasche, Dirk - In: CreditRisk+ in the banking industry, (pp. 25-43). 2004

Persistent link: https://www.econbiz.de/10002108692

The two defaults scenario for stressing credit portfolio loss distributions

Tasche, Dirk - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-18

The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo...

Persistent link: https://www.econbiz.de/10011544020

Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds

Tasche, Dirk - In: The journal of credit risk : published quarterly by … 12 (2016) 2, pp. 77-111

Persistent link: https://www.econbiz.de/10011597894