pith. sign in

Dirk Tasche

Identifiers

  • name variant Dirk Tasche 0.60 · backfill

Papers (33)

  1. Factorizable joint shift revisited cs.LG · 2026 · author #1
  2. Confidence intervals for class prevalences under prior probability shift stat.ML · 2019 · author #1
  3. A plug-in approach to maximising precision at the top and recall at the top stat.ML · 2018 · author #1
  4. Fisher consistency for prior probability shift stat.ML · 2017 · author #1
  5. Does quantification without adjustments work? stat.ML · 2016 · author #1
  6. Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds q-fin.RM · 2015 · author #1
  7. Exact fit of simple finite mixture models stat.ML · 2014 · author #1
  8. What is the best risk measure in practice? A comparison of standard measures q-fin.RM · 2013 · author #3
  9. The Law of Total Odds math.PR · 2013 · author #1
  10. The art of probability-of-default curve calibration q-fin.RM · 2012 · author #1
  11. Bounds for rating override rates q-fin.RM · 2012 · author #1
  12. Bayesian estimation of probabilities of default for low default portfolios q-fin.RM · 2011 · author #1
  13. Capital allocation for credit portfolios under normal and stressed market conditions q-fin.RM · 2010 · author #2
  14. The two defaults scenario for stressing credit portfolio loss distributions q-fin.RM · 2010 · author #1
  15. Estimating discriminatory power and PD curves when the number of defaults is small q-fin.RM · 2009 · author #1
  16. Incorporating exchange rate risk into PDs and asset correlations q-fin.RM · 2007 · author #1
  17. Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle q-fin.PM · 2007 · author #1
  18. Capital allocation for credit portfolios with kernel estimators math.ST · 2006 · author #1
  19. Validation of internal rating systems and PD estimates physics.soc-ph · 2006 · author #1
  20. Measuring sectoral diversification in an asymptotic multi-factor framework physics.soc-ph · 2005 · author #1
  21. Estimating Probabilities of Default for Low Default Portfolios cond-mat.other · 2004 · author #2
  22. The single risk factor approach to capital charges in case of correlated loss given default rates cond-mat.other · 2004 · author #1
  23. Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk cond-mat.other · 2003 · author #1
  24. A traffic lights approach to PD validation cond-mat · 2003 · author #1
  25. Calculating credit risk capital charges with the one-factor model cond-mat.other · 2003 · author #2
  26. Credit Risk Contributions to Value-at-Risk and Expected Shortfall cond-mat · 2002 · author #2
  27. Remarks on the monotonicity of default probabilities cond-mat · 2002 · author #1
  28. A shortcut to sign Incremental Value-at-Risk for risk allocation cond-mat.stat-mech · 2002 · author #1
  29. Expected Shortfall and Beyond cond-mat · 2002 · author #1
  30. Calculating Value-at-Risk contributions in CreditRisk+ cond-mat.stat-mech · 2001 · author #2
  31. Expected Shortfall: a natural coherent alternative to Value at Risk cond-mat.stat-mech · 2001 · author #2
  32. Conditional Expectation as Quantile Derivative math.PR · 2001 · author #1
  33. On the coherence of Expected Shortfall cond-mat.stat-mech · 2001 · author #2

Mentions

  • 1505.07484 #1 · backfill · confidence 0.70 Dirk Tasche
  • 1406.6038 #1 · backfill · confidence 0.70 Dirk Tasche
  • 1312.1645 #3 · backfill · confidence 0.70 Dirk Tasche
  • 1312.0365 #1 · backfill · confidence 0.70 Dirk Tasche
  • 1212.3716 #1 · backfill · confidence 0.70 Dirk Tasche
  • 1203.2287 #1 · backfill · confidence 0.70 Dirk Tasche
  • 1112.5550 #1 · backfill · confidence 0.70 Dirk Tasche
  • 1009.5401 #2 · backfill · confidence 0.70 Dirk Tasche
  • 1002.2604 #1 · backfill · confidence 0.70 Dirk Tasche
  • 0905.3928 #1 · backfill · confidence 0.70 Dirk Tasche
  • 0712.3363 #1 · backfill · confidence 0.70 Dirk Tasche
  • 0708.2542 #1 · backfill · confidence 0.70 Dirk Tasche

Frequent Coauthors