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Publications by Dirk Tasche

The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions

Journal of Risk and Financial Management

English

Confidence Intervals for Class Prevalences Under Prior Probability Shift

Machine Learning and Knowledge Extraction

English

Related publications

Particle Methods for the Estimation of Credit Portfolio Loss Distributions

International Journal of Theoretical and Applied Finance

English

Severe Loss Probabilities in Portfolio Credit Risk Models

SSRN Electronic Journal

English

Common Factors in Credit Defaults Swaps Markets

SSRN Electronic Journal

English

The Pricing of Portfolio Credit Risk

SSRN Electronic Journal

English

Large Portfolio Credit Risk Modeling

International Journal of Theoretical and Applied Finance

English

Systemic Risk Contributions: A Credit Portfolio Approach

Journal of Banking and Finance

English

Minimizing Credit Risk and Improving the Quality of the Credit Portfolio of the Commercial Bank

Scientific bulletin of the Southern Institute of Management

English

Cyclical Correlations, Credit Contagion, and Portfolio Losses

SSRN Electronic Journal

English

Predictive Modeling and Expectable Loss Analysis for Borrower Defaults of Mortgage Loans

Journal of Modern Accounting and Auditing

English