Dirk Tasche

Swiss Financial Market Supervisory Authority (FINMA)

Senior Risk Manager

Einsteinstrasse 2

Bern, 3003

Switzerland

  • Swiss Financial Market Supervisory Authority (FINMA)

SCHOLARLY PAPERS

16

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9,200

TOTAL CITATIONS
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Top 12,842

in Total Papers Citations

101

Scholarly Papers (16)

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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 2,622 (11,174)
Citation 4

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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 1,486 (27,269)
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 960 (51,465)
Citation 20

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Regulatory capital charge, loss given default (LGD)

4.

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, CREAR risk research center
Downloads 755 (71,093)
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

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 679 (81,567)
Citation 1

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

6.

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 430 (143,295)
Citation 6

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

7.

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 383 (163,470)
Citation 9

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risk contribution, multi-factor model, diversification index

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 372 (168,786)
Citation 1

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Transfer risk, PD estimation, conditional probability, Basel II

9.

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 342 (185,145)

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

10.

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 263 (243,873)
Citation 8

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Capital allocation, kernel estimation, importance sampling

11.

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 232 (276,191)
Citation 26

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

12.

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 202 (315,021)

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

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 148 (413,993)

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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 142 (427,849)

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

15.

Proving Prediction Prudence

Data Science in Finance and Economics, 2022, 2(4): 359-379
Number of pages: 26 Posted: 05 Jun 2020 Last Revised: 02 Oct 2022
Dirk Tasche
Swiss Financial Market Supervisory Authority (FINMA)
Downloads 108 (528,411)

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

16.

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 76 (659,006)

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