Dirk Tasche

FitchRatings -- Quantitative Financial Research
101 Finsbury Pavement
London
EC2A 1RS
UK

• Berlin University of Technology, Ph. D. (Mathematics) (1996)
• Dirk Tasche joined Fitch Ratings as a senior director in the Quantitative Financial Research (QFR) group. Dirk is based in London and will focus on group's efforts regarding credit portfolio risk and risk scoring models. Prior to joining Fitch, Dirk was a risk analyst in the banking and financial supervision department of Deutsche Bundesbank, Frankfurt am Main. He was mainly involved in the European Union-wide and national German legal implementation of the Basel II Internal Ratings Based Approach (IRBA). Additionally, he was charged with research on economic capital models and their implementation in financial institutions. Prior to Deutsche Bundesbank, Dirk worked in the credit risk management of HVB, Munich, and as a researcher at universities in Germany and Switzerland. He has published several papers on measurement of financial risk and capital allocation.
• Press Release: here

Publications: that are posted on DefaultRisk.com

Credit Modeling

Calculating Credit Risk Capital Charges with the One-factor Model
by Susanne Emmer of Dr. Nagler & Company GmbH, and
Dirk Tasche of Deutsche Bundesbank
(225K PDF) -- 17 pages -- January 4, 2005

Calculating Value-at-Risk Contributions in CreditRisk+
by Hermann Haaf of Commerzbank AG, and
Dirk Tasche of RiskLab Switzerland
(246K PDF) -- 12 pages -- November 22, 2002

Credit Risk Contributions to Value-at-Risk and Expected Shortfall
by Alexandre Kurth of UBS AG, and
Dirk Tasche of Deutsche Bundesbank
(244K PDF -- 12 pages -- July 31, 2002

Credit Correlation

Measuring Risk Concentration
Dirk Tasche
(126K PDF) -- 3 pages -- 2007
Presentation

Recovery Rates

The Single Risk Factor Approach to Capital Charges in Case of Correlated Loss Given Default Rates
by Dirk Tasche of Deutsche Bundesbank
(216K PDF) -- 9 pages -- February 17, 2004

Model Testing / Stress Testing

Validation of Internal Rating Systems and PD Estimates
by Dirk Tasche of the Deutsche Bundesbank
(302K PDF) –- 27 pages -- June 7, 2006

Validating Default Probabilities on Short Time Series
by Stefan Blochwitz of Deutsche Bundesbank,
Stefan Hohl of the Bank for International Settlements,
Dirk Tasche of Deutsche Bundesbank, and
Carsten Wehn of Deutsche Bundesbank
(168K PDF) -- 11 pages -- May 7, 2004

A Traffic Lights Approach to PD Validation
by Dirk Tasche of Deutsche Bundesbank
(185K PDF) -- 7 pages -- May 2, 2003

Measuring the Discriminative Power of Rating Systems
by Bernd Engelmann of Deutsche Bundesbank
Evelyn Hayden University of Vienna, and
Dirk Tasche of Deutsche Bundesbank
(334K PDF) -- 32 pages -- November 2002

Model Testing / Stress Testing

Testing Rating Accuracy
by Bernd Engelmann of Deutsche Bundesbank,
Evelyn Hayden of the University of Vienna, and
Dirk Tasche of Deutsche Bundesbank
(125K PDF) -- 5 pages -- January 2003

Credit Scoring

Estimating Probabilities of Default for Low Default Portfolios
by Katja Pluto of Deutscche Bundesbank, and
Dirk Tasche of Deutsche Bundesbank
(335K PDF) -- 20 pages -- July 28, 2005

Quantitative Methods

Unbiasedness in Least Quantile Regression
by Dirk Tasche of the Technische Universität München
(204K PDF) -- 11 pages -- September 6, 2001

Other

Euler Allocation: Theory and Practice
by Dirk Tasche of Fitch Ratings, QFR, London
(342K PDF) -- 21 pages -- April 2008

Capital Allocation for Credit Portfolios with Kernel Estimators
by Dirk Tasche of Fitch Ratings, QFR
(366K PDF) –- 21 pages -- November 2007

Shortfall: A tail of two parts
Richard Martin of Credit Suisse, and
Dirk Tasche of Deutsche Bundesbank
(408K PDF) -- 6 pages -- February 2007

Risk Contributions in an Asymptotic Multi-Factor Framework
by Dirk Tasche of Deutsche Bundesbank
(368K PDF) -– 22 pages -- May 20, 2005

Book Chapters:

	The Analytics of Risk Model Validation by George A. Christodoulakis (Editor), Stephen Satchell (Editor) Academic Press, (November 11, 2007), Hardcover, 216 pages
	The Basel II Risk Parameters: Estimation, Validation, and Stress Testing by Bernd Engelmann (Editor), Robert Rauhmeier (Editor) Springer, (August 2006), Hardcover, 376 pages
	Operations Research Proceedings 2003 by D. Ahr (Editor), R. Fahrion (Editor), M. Oswald (Editor), G. Reinelt (Editor), Springer, (May 11, 2006), Paperback, 490 pages
	Economic Capital: A Practical Guide by Ashish Dev (Editor), Risk Books, (December 2004), Hardcover, 498 pages
	CreditRisk+ in the Banking Industry by Matthias Gundlach (Editor), Frank Lehrbass (Editor) Springer-Verlag, (April 15, 2004), Hardcover, 369 pages
	Statistical Data Analysis Based on the L1-Norm and Related Methods by Yadolah Dodge (Editor) Birkhäuser Basel, (September 17, 2002), Hardcover, 454 pages

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