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Tasche, Dirk
6
Acerbi, Carlo
2
Kurth, Alexandre
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Martin, Richard
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Journal of banking & finance
2
Risk : managing risk in the world's financial markets
2
Economic notes : economic review of Banca Monte dei Paschi di Siena
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The journal of credit risk : published quarterly by Incisive Media
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OLC EcoSci
ECONIS (ZBW)
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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
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2
Expected Shortfall: A Natural Coherent Alternative to Value at Risk
Acerbi, Carlo
;
Tasche, Dirk
- In:
Economic notes : economic review of Banca Monte dei …
31
(
2002
)
2
,
pp. 379
Persistent link: https://www.econbiz.de/10006034005
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3
Expected shortfall and beyond
Tasche, Dirk
- In:
Journal of banking & finance
26
(
2002
)
7
,
pp. 1519-1534
Persistent link: https://www.econbiz.de/10005889427
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4
On the coherence of expected shortfall
Acerbi, Carlo
;
Tasche, Dirk
- In:
Journal of banking & finance
26
(
2002
)
7
,
pp. 1487-1504
Persistent link: https://www.econbiz.de/10005889429
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5
Credit portfolio risk: Contributions to credit risk - Optimisation of credit portfolios requires that risk contributions be quantified. However, there has been disagreement over which of three popular tail risk measures should be used. Here, the authors offer a way forward.
Kurth, Alexandre
;
Tasche, Dirk
- In:
Risk : managing risk in the world's financial markets
16
(
2003
)
3
,
pp. 84-88
Persistent link: https://www.econbiz.de/10007033254
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6
CREDIT PORTFOLIO RISK: Shortfall: a tall of two parts - The authors show that the expected shortfall, when used in the conditional independence framework, has an elegant decomposition into systematic (risk-factor-driven) and unsystematic parts. The theory is compared and contrasted with the well-known, and analogous, decomposition for variance.
Martin, Richard
;
Tasche, Dirk
- In:
Risk : managing risk in the world's financial markets
20
(
2007
)
2
,
pp. 84-89
Persistent link: https://www.econbiz.de/10007607331
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