Dirk Tasche

Swiss Financial Market Supervisory Authority (FINMA)

Senior Risk Manager

Einsteinstrasse 2

Bern, 3003

Switzerland

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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Top 8,564

in Total Papers Citations

57

CROSSREF CITATIONS

95

Scholarly Papers (16)

1.

Estimating Probabilities of Default for Low Default Portfolios

Number of pages: 24 Posted: 27 Dec 2004
Dirk Tasche and Katja Pluto
Swiss Financial Market Supervisory Authority (FINMA) and Deutsche Bundesbank
Downloads 1,861 (11,270)
Citation 3

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Probability of default, low default portfolio, most prudent estimation, confidence bound

2.

Approximations for the Value-at-Risk Approach to Risk-Return Analysis

Number of pages: 22 Posted: 12 May 2001
Dirk Tasche and Luisa Tibiletti
Swiss Financial Market Supervisory Authority (FINMA) and University of Turin - Department of Management
Downloads 1,427 (17,123)
Citation 1

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Sharpe Ratio, Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), linear regression, quadratic regression.

3.

The Single Risk Factor Approach to Capital Charges in Case of Correlated Loss Given Default Rates

Number of pages: 9 Posted: 15 Apr 2004
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 813 (38,627)
Citation 20

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Regulatory capital charge, loss given default (LGD)

What is the Best Risk Measure in Practice? A Comparison of Standard Measures

Journal of Risk 18(2), 31-60, 2015
Number of pages: 27 Posted: 21 Dec 2013 Last Revised: 13 Jul 2017
Susanne Emmer, Dirk Tasche and Marie Kratz
ESSEC Business School, Swiss Financial Market Supervisory Authority (FINMA) and ESSEC Business School - Information & Decision Sciences Department
Downloads 555 (62,997)
Citation 25

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Backtesting; Capital Allocation; Coherence; Diversification; Elicitability; Expected Shortfall; Expectile; Forecasts; Probability Integral Transform (PIT); Risk Measure; Risk Management; Robustnes; Value-at-Risk

What Is the Best Risk Measure in Practice? A Comparison of Standard Measures

Journal of Risk, Vol. 18, No. 2, 2015
Number of pages: 30 Posted: 25 Jun 2016
Susanne Emmer, Marie Kratz and Dirk Tasche
ESSEC Business School, ESSEC Business School, CREAR and Swiss Financial Market Supervisory Authority (FINMA)
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Citation 13
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backtesting, capital allocation, coherence, diversification, conditional elicitability, risk measures

5.

The Art of Probability-of-Default Curve Calibration

Journal of Credit Risk 9(4), 63-103, 2013
Number of pages: 35 Posted: 16 Dec 2012 Last Revised: 22 Jan 2014
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 390 (97,603)
Citation 1

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probability of default, calibration, likelihood ratio, Bayes' formula, rating profile, binary classification

6.

Measuring Sectoral Diversification in an Asymptotic Multi-Factor Framework

Journal of Credit Risk 2(3), 33-55, 2006
Number of pages: 23 Posted: 03 Jun 2005 Last Revised: 22 Jan 2014
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 339 (113,961)
Citation 7

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risk contribution, multi-factor model, diversification index

7.

Caveats for Associating Internal Rating Grades with Agency Rating PDs

Number of pages: 7 Posted: 08 Aug 2008
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 299 (130,509)

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Probability of default (PD), rating prediction, benchmarking, external rating

8.

A Short Note on Transfer Risk

Number of pages: 4 Posted: 11 Mar 2007
Katja Pluto and Dirk Tasche
Deutsche Bundesbank and Swiss Financial Market Supervisory Authority (FINMA)
Downloads 263 (148,942)

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Transfer risk, PD estimation, conditional probability, Basel II

9.

Capital Allocation for Credit Portfolios with Kernel Estimators

Quantitative Finance 9(5), 581-595, 2009
Number of pages: 21 Posted: 27 Dec 2006 Last Revised: 22 Jan 2014
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 230 (169,862)
Citation 7

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Capital allocation, kernel estimation, importance sampling

10.

Bayesian Estimation of Probabilities of Default for Low Default Portfolios

Journal of Risk Management in Financial Institutions 6 (3), 302-326, 2013
Number of pages: 28 Posted: 30 Apr 2012 Last Revised: 22 Jan 2014
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 226 (172,766)
Citation 6

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Low default portfolio, probability of default, upper confidence bound, Bayesian estimator

11.

An Upper Bound of Loss Given Default for Exposures to Financial Institutions

Number of pages: 4 Posted: 22 Nov 2016
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 134 (271,311)

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Loss Given Default, regulatory capital requirements, Foundation Internal Ratings Based Approach

12.

Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered Bonds

Journal of Credit Risk, Vol. 12, No. 2, p. 1-34, 2016
Number of pages: 27 Posted: 29 May 2015 Last Revised: 10 Jun 2016
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 131 (275,872)
Citation 12

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Covered bonds, expected loss, asset value distribution, quantile, expected shortfall, method of moments, two-parameter distribution family

13.

The Numerics of Premium Bonds

Journal of Gambling Business and Economics 9(3), 14-33, 2015
Number of pages: 15 Posted: 10 Feb 2015 Last Revised: 07 Jan 2016
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 94 (347,119)

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Multivariate hypergeometric distribution, number of partitions, Poisson approximation, Panjer recursion, lottery bonds

14.

Bounds for Rating Override Rates

Journal of Credit Risk 8(4), 3-29, 2012
Number of pages: 23 Posted: 30 Apr 2012 Last Revised: 22 Jan 2014
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 59 (454,144)

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Credit rating, rating override, discriminatory power, accuracy ratio, misclassification rate

15.

The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions

Journal of Risk and Financial Management 9(1), 1-18, 2016
Number of pages: 20 Posted: 01 Nov 2015 Last Revised: 07 Jan 2016
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 45 (506,952)

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Risk concentration, stress test, scenario analysis, joint default probability

16.

Proving Prediction Prudence

Number of pages: 23 Posted: 05 Jun 2020 Last Revised: 24 Jun 2020
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 28 (595,443)

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Paired difference test, weighted mean, credit risk, PD, LGD, EAD, CCF