Dirk Tasche

Lloyds TSB | Corporate Markets

Email:   tasche at ma dot tum dot de

Research interests

• Mathematical Finance
• Risk Management
• Robust statistics

Publications

• Tasche, D. (2009) Capital allocation for credit portfolios with kernel estimators.
  Quantitative Finance 9(5) (August 2009), 581-595.
  Abstract   Preprint download   R-script


• Tasche, D. (2008) Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle.
  In: "Pillar II in the New Basel Accord: The Challenge of Economic Capital", A. Resti (ed.), Risk Books, 2008, pp. 423-453.
  Abstract   Preprint download   R-scripts


• Tasche, D. (2008) Allokation des ökonomischen Kapitals auf Teilportfolios und Transaktionen.
  In: "Handbuch Ökonomisches Kapital", A. Becker, V. Gehrmann und H. Schulte-Mattler (Herausgeber), Fritz-Knapp Verlag, pp. 193-212.
  Abstract   Preprint (English) download


• Tasche, D. (2008) Validation of internal rating systems and PD estimates.
  In: " The Analytics of Risk Model Validation", G. Christodoulakis and S. Satchell (eds.), Elsevier, 2008, pp. 171-198.
  Preprint:  Abstract   ps-file   pdf-file
  Presentation


• Tasche, D. (2007) Measuring risk concentration.
  In Oberwolfach Report No. 10/2007.
  Preprint:  pdf-file
  Presentation


• Martin, R., Tasche, D. (2007) Shortfall: a tail of two parts.
  Risk 20(2) (February 2007), 84-89.
  Preprint:  Abstract   pdf-file


• Tasche, D. (2006) Measuring sectoral diversification in an asymptotic multi-factor framework.
  Journal of Credit Risk 2(3), 33-55.
  Preprint:  Abstract   pdf-file
  Presentation


• Pluto, K., Tasche, D. (2006) Estimating Probabilities of Default for Low Default Portfolios.
  In: " The Basel II Risk Parameters", B. Engelmann and R. Rauhmeier (eds.), Springer, 2006, pp. 79-103.
  Preprint:  Abstract     pdf-file


• Pluto, K., Tasche, D. (2005) Thinking positively.
  Risk 18(8) (August 2005), 72-78.
  Preprint:  Abstract   pdf-file
  Deutsche Version: "Denke positiv!"
  Deutsches Risk, September 2005, 42-48.


• Emmer, S., Tasche, D. (2005) Calculating credit risk capital charges with the one-factor model.
  Journal of Risk 7(2), 85-101.
  Preprint:  Abstract   ps-file   pdf-file
  Presentation


• Blochwitz, S., Hohl, S., Tasche, D., and Wehn, C. (2004) Validating Default Probabilities on Short Time Series.
  Capital & Market Risk Insights (Federal Reserve Bank of Chicago), December 2004.
  Preprint:  Abstract   pdf-file


• Tasche, D. (2004) Allocating Portfolio Economic Capital to Sub-portfolios.
  In: "Economic Capital: A Practitioner Guide", A. Dev (ed.), Risk Books, 2004, pp. 275-302.
  Preprint:  Abstract   pdf-file


• Tasche, D., Tibiletti, L. (2004) Approximations for the Value-at-Risk approach to risk-return analysis.
  The ICFAI Journal of Financial Risk Management 1(4), 44-61.
  Preprint:  Abstract   ps-file   pdf-file
  Presentation


• Tasche, D. (2004) Capital Allocation with CreditRisk⁺.
  In: "CreditRisk⁺ in the Banking Industry", V.M. Gundlach and F.B. Lehrbass (eds.), Springer, 2004, pp. 25-44.
  Preprint:   Abstract   ps-file   pdf-file


• Tasche, D., Theiler, U. (2004) Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk.
  In: "Operations Research 2003", Ahr, D., Fahrion, R., Oswald, M., Reinelt, G. (eds.) Springer, 2004, pp. 261-268.
  Preprint:   Abstract   ps-file   pdf-file
  Presentation


• Engelmann, B., Hayden, E., Tasche, D. (2003) Testing Rating Accuracy.
  Risk 16(1) (January 2003), 82-86.
  Preprint:  Abstract   ps-file   pdf-file


• Kurth, A., Tasche, D. (2003) Contributions to credit risk.
  Risk 16(3) (March 2003), 84-88.
  Preprint "Credit Risk Contributions to Value-at-Risk and Expected Shortfall":   Abstract   ps-file   pdf-file
  Deutsche Version: "Bestimmung von Kreditrisikobeiträgen"
  Deutsches Risk, Juli 2003, 32-37.
  Preprint:   ps-file   pdf-file


• Tasche, D., Tibiletti, L. (2003) A shortcut to sign Incremental Value-at-Risk for risk allocation.
  Journal of Risk Finance 2(4) (Winter 2003), 43-46.
  Preprint:  Abstract   ps-file   pdf-file


• Tasche, D. (2003) Unbiasedness in Least Quantile Regression.
  In: "Developments in Robust Statistics", R. Dutter, P. Filzmoser, U. Gather, P. J. Rousseeuw (eds.), Heidelberg, New York: Physica-Verlag, 2003, pp. 377-386.
  Preprint:  Abstract   ps-file   pdf-file
  Poster


• Tasche, D. (2002) Expected Shortfall and Beyond.
  Journal of Banking and Finance 26(7), 1519-1533.
  Short version in: "Statistical data analysis based on the L₁-norm and related methods,"
  Yadolah Dodge (ed.), Boston, Basel, Berlin: Birkhäuser, 2002, pp. 109-123.
  Preprint:   Abstract   ps-file   pdf-file
  Presentation


• Acerbi, C., Tasche, D. (2002) Expected Shortfall: a natural coherent alternative to Value at Risk.
  Economic Notes 31(2), 379-388.
  Preprint:   Abstract   ps-file   pdf-file


• Haaf, H., Tasche, D. (2002) Credit portfolio measurements.
  GARP Risk Review issue 07 Jul/Aug 02, 43-47.
  Preprint "Calculating Value-at-Risk contributions in CreditRisk⁺":  Abstract   ps-file   pdf-file


• Acerbi, C., Tasche, D. (2002) On the coherence of Expected Shortfall.
  Journal of Banking and Finance 26(7), 1487-1503 (2002).
  Preprint:  Abstract   ps-file   pdf-file
  Presentation


• Tasche, D. (1997) On the second Borel-Cantelli lemma for strongly mixing sequences of events.
  Journal of Applied Probability 34, 381-394.
  Preprint:  Abstract   ps-file   pdf-file


• Tasche, D. (1996) Oscillation measures and strongly mixing random sequences. (German).
  Ph.D. thesis, Technische Universität Berlin.
  Abstract   ps-file   pdf-file

Working papers

• Tasche, D. (2009) Estimating discriminatory power and PD curves when the number of defaults is small.
  Working paper:   Abstract   Download
  Presentation


• Tasche, D. (2008) Caveats for Associating Internal Rating Grades with Agency Rating PDs.
  Working paper:   Abstract   Download


• Tasche, D. (2007) Incorporating exchange rate risk into PDs and asset correlations.
  Working paper:   Abstract   Download


• Pluto, K., Tasche, D. (2006) A Short Note on Transfer Risk.
  Working paper:   Abstract   pdf-file


• Tasche, D. (2004) The single risk factor approach to capital charges in case of correlated loss given default rates.
  Working paper:   Abstract   ps-file   pdf-file


• Engelmann, B., Hayden, E., Tasche, D. (2003) Measuring the discriminative power of rating systems.
  Discussion paper No. 01/2003, Banking and Financial Supervision, Deutsche Bundesbank.
  Abstract   pdf-file 305k


• Tasche, D. (2003) A traffic lights approach to PD validation.
  Working paper:  Abstract   ps-file   pdf-file


• Tasche, D. (2002) Remarks on the monotonicity of default probabilities.
  Working paper:  Abstract   ps-file   pdf-file


• Kafetzaki-Boulamatsis, M., Tasche, D. (2001) Combined Market and Credit Risk Stress Testing based on the Merton Model.
  RiskLab report:  Abstract   ps-file 571k   pdf-file 345k


• Tasche, D., Tibiletti, L. (2001) Are independent risks substitutes according to the Generalized Sharpe Ratio?
  Working paper:  Abstract   ps-file   pdf-file


• Tasche, D. (2000) Conditional Expectation as Quantile Derivative.
  Working paper:  Abstract   ps-file   pdf-file


• Tasche, D. (2000) On the determination coefficient in robust regression.
  Working paper:  Abstract   ps-file   pdf-file


• Tasche, D. (1999) Risk Contributions and Performance Measurement.
  Working paper:  Abstract   ps-file   pdf-file

Presentations

• Validation of PD Estimates
  22 June 2009, "Re-Engineering Credit Risk after Basel II", Bocconi School of Management, Milan
  pdf-file


• Multi-period PD estimation in low default portfolios
  8 September 2008, Johannesburg
  pdf-file


• Credit portfolio risk sensitivities
  6 September 2008, Third International Conference on Mathematics in Finance
  pdf-file


• The Vasicek Distribution
  August 2008, Lloyds TSB Bank
  pdf-file


• Validation of PD Estimates
  23 June 2008, "Re-Engineering Credit Risk after Basel II", Bocconi School of Management, Milan
  pdf-file


• Capital allocation for credit portfolios
  16 January 2008, Warwick Finance Seminar
  pdf-file


• Measuring risk concentration
  19 February 2007, Workshop "Recent Developments in Financial and Insurance Mathematics and the Interplay with the Industry", Mathematisches Forschungsinstitut Oberwolfach
  pdf-file


• Validation Techniques I: Regulatory and statistical background
  18-20 December 2006, Seminar "Quantitative Validation of Internal Ratings and IRB Parameters", Banca d'Italia, Rome
  pdf-file


• Validation Techniques II: Discriminatory Power and Calibration
  18-20 December 2006, Seminar "Quantitative Validation of Internal Ratings and IRB Parameters", Banca d'Italia, Rome
  pdf-file


• Capital allocation with kernel estimators
  October 2006, Heriot-Watt University, Edinburgh
  pdf-file


• Applications of VaR to calculate economic capital
  September 2006, training course "Advanced Applications of VaR", London
  pdf-file


• Modelling and estimating loss given default rates
  September 2006, conference "Basel II and Credit Risk Modelling in Consumer Lending", University of Southampton
  pdf-file


• Concepts from Probability Theory
  February 28, 2006, training course "Credit and Operational Risk Models", Bank of Thailand
  pdf-file


• Risk contributions in an asymptotic multi-factor framework
  November 19, 2005, workshop "Concentration Risk in Credit Portfolios", Eltville
  pdf-file


• Basel II extended: The multi-factor version of the Basel II credit portfolio model
  March 9, 2005, at Developments in Quantitative Finance, Isaac Newton Institute for Mathematical Sciences, Cambridge
  pdf-file


• Concentration-sensitive capital charges for credit risks
  December 9, 2003, at Finanzwirtschaftliches Kolloquium, Universität Frankfurt
  pdf-file   ps-file


• Calculating Credit Risk Capital Charges with the One-Factor Model
  September 25, 2003, at the Third Annual Conference of The European Investment Review, Geneva
  pdf-file


• Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk
  September 4, 2003, at Operations Research 2003, Heidelberg
  pdf-file


• Calculating and allocating capital for credit portfolios
  May 26, 2003, ISDS colloquium, Vienna
  pdf-file


• Calculating and allocating capital for credit risk
  April 8, 2003, at RISK Europe, Paris
  pdf-file


• Kapitalallokation mit CreditRisk⁺ ("Capital allocation with CreditRisk⁺")
  March 24, 2003, at Workshop "CreditRisk⁺ im Bankensektor"
  Center of Finance and Risk Management, Mainz
  pdf-file


• Statistische Grundlagen der Validierung von Rating-Systemen ("Statistical foundations for the validation of rating systems")
  January 15, 2003, at Forschungsseminar Kreditrisiko (Prof. Mark Wahrenburg), Universität Frankfurt
  pdf-file


• Exploiting the full Potential of CreditRisk⁺
  October 22, 2002, at Credit Risk Summit 2002 Europe, London
  ps-file   pdf-file


• Expected Shortfall and Beyond
  August 6, 2002, at Fourth International Conference on "Statistical data analysis based on the L₁-norm and related methods"
  ps-file   pdf-file


• Risikoquantifizierung für das Gesamtbankportfolio ("Firmwide risk quantification for a bank")
  January 23, 2002, at EUROFORUM-Seminar Integrierte Gesamtbanksteuerung, Wiesbaden
  ps-file   pdf-file


• Expected Shortfall and Beyond
  October 19, 2001, at RiskLab Switzerland
  ps-file   pdf-file


• On the coherence of Expected Shortfall
  August 24, 2001, at Center for Computational Finance (Pittsburgh)
  ps-file   pdf-file


• Unbiasedness in Least Quantile Regression
  Poster, presented at ICORS 2001 (Vorau, Austria), July 23, 2001
  ps-file   pdf-file


• Approximations for the Value-at-Risk approach to risk-return analysis
  June 28, 2001, at EFMA 2001 Meeting, Lugano
  ps-file   pdf-file


• Modern Portfolio Theory with Homogeneous Risk Measures
  February 8, 2001, at ECFR (Erasmus Center for Financial Research, Rotterdam)
  ps-file   pdf-file


• Risk adjusted capital allocation and capital apportionment
  October 24, 2000, at Munich Re
  ps-file   pdf-file
  German version:   ps-file   pdf-file


• Credit decisions based on various notions of risk
  Poster, presented at EURANDOM (Eindhoven), March 19, 1999
  ps-file   pdf-file

Lectures

• Anwendungen der Stochastik in der Bankenaufsicht
  Johann Wolfgang Goethe-Universität Frankfurt am Main, Sommer 2006
  Download:  pdf-file


• Anwendungen der Stochastik in der Bankenaufsicht
  Technische Universität München, Sommer 2005


• Finanzmathematik: zeitstetige Modelle
  Technische Universität München, Sommer 2000