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Dirk Tasche6 th Most Prolific Credit Author in DefaultRisk.com
5th Most Popular Author in DefaultRisk.com
Financial Services Authority
25 The North Colonnade
Canary Wharf
London, UK
E14 5HS - Berlin University of Technology, Ph. D. (Probability) (1996)
- Dr. Tasche is a technical specialist in the UK FSA's IRB modelling team.
- Dirk has more than twelve years experience in risk management, from industry, supervisory and academic positions. Before joining the FSA, Dirk held positions in the Risk Methodologies and Analytics department at Lloyds Banking Group and in the Quantitative Financial Research Group at Fitch Ratings in London. Before these appointments, he worked several years as a German Banking supervisor, assisting in the development, national implementation and interpretation of the Basel II framework, and representing Deutsche Bundesbank in working groups of the Basel Committee on Banking Supervision and the Committee of European Banking Supervisors. Prior to Deutsche Bundesbank, Dirk worked in the credit risk management of HypoVereinsbank. He also spent several years in the academic world, holding positions at ETH Zurich and Munich University of Technology.
| Contact: | | Email address secured by Enkoder. | | Phone | +44 20 7066 1000 | | e-mail |
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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 Tasche, Dirk and Luisa Tibiletti, "A Shortcut to Sign Incremental Value-at-Risk for Risk Allocation", Journal of Risk Finance, Vol. 4, No. 2, (2003), pp. 43-46. Acerbi, Carlo and Dirk Tasche, "On the Coherence of Expected Shortfall", Journal of Banking & Finance, Vol. 26, No. 7, (July 2002), pp. 1487-1503. Credit Correlation Measuring Risk Concentration
Dirk Tasche
(126K PDF) -- 3 pages -- 2007
Presentation Tasche, Dirk, "Measuring Sectoral Diversification in an Asymptotic Multi-factor Framework", Journal of Credit Risk, Vol. 2, No. 3, (Fall 2006), pp. 33-55. 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 Estimating Discriminatory Power and PD Curves when the Number of Defaults is Small
by Dirk Tasche of Lloyds Banking Group
(802K PDF) -- 58 pages -- May 24, 2009 Validation of Internal Rating Systems and PD Estimates
by Dirk Tasche of 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 Estimating Discriminatory Power and PD Curves when the Number of Defaults is Small
by Dirk Tasche of Lloyds Banking Group
(802K PDF) -- 58 pages -- May 24, 2009 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 Remarks on the Monotonicity of Default Probabilities
by Dirk Tasche of Deutsche Bundesbank
(132K PDF) -- 8 pages -- July 23, 2002 Credit Scoring Bayesian Estimation of Probabilities of Default for Low Default Portfolios
by Dirk Tasche of Financial Services Authority, United Kingdom
(552K PDF) -- 29 pages -- December 23, 2011 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 Credit Capital allocation for credit portfolios under normal and stressed market conditions
by Norbert Jobst of Lloyds Banking Group, and
Dirk Tasche of Lloyds Banking Group
(514K PDF) -- 27 pages -- September 27, 2010 Loss Distributions Conditional on Defaults
by Dirk Tasche of Lloyds Banking Group
(163K PDF) -- 11 pages -- February 12, 2010 Capital Allocation to Business Units and Sub-Portfolios: The Euler principle
by Dirk Tasche of Lloyds TSB Bank
(396K PDF) -- 22 pages -- June 22, 2008 Incorporating exchange rate risk into PDs and asset correlations
by Dirk Tasche
(109K PDF) -- 7 pages -- December 2007 Capital Allocation for Credit Portfolios with Kernel Estimators
by Dirk Tasche of Lloyds Banking Group
(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 Tasche, Dirk, Ursula Theiler, "Calculating Concentration-sensitive Capital Charges with Conditional Value-at-Risk", Ahr et al. (Eds.), Operations Research Proceedings 2003, Springer, Berlin, 2004, 261-2268. ISBN==3540214453 Expected Shortfall and Beyond
by Dirk Tasche of Deutsche Bundesbank
(547K PDF) -- 24 pages -- October 20, 2002 Conditional Expectation as Quantile Derivative
by Dirk Tasche of Technische Universität München
(170K PDF) -- 12 pages -- November 13, 2000 Books & Book Chapters:  | Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages |  | The Analytics of Risk Model Validation
by George A. Christodoulakis (Editor), Stephen Satchell (Editor)
Academic Press, (November 11, 2007), Hardcover, 216 pages |  | The Basel Handbook: A Guide for Financial Practitioners (2nd edition)
by Michael K. Ong (editor)
Risk Books in association with KPMG, (December 18, 2006), Hard cover, 500 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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