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Expected shortfall and beyond

Tasche, Dirk - In: Journal of banking & finance 26 (2002) 7, pp. 1519-1533

Persistent link: https://www.econbiz.de/10001688699

Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds

Tasche, Dirk - In: The journal of credit risk : published quarterly by … 12 (2016) 2, pp. 77-111

Persistent link: https://www.econbiz.de/10011597894

What is the best risk measure in practice? : a comparsion of standard measures

Emmer, Susanne; Kratz, Marie; Tasche, Dirk - In: Journal of risk 18 (2015/2016) 2, pp. 31-60

Persistent link: https://www.econbiz.de/10011438976

Allokation des ökonomischen Kapitals auf Teilportfolios und Transaktionen

Tasche, Dirk - In: Handbuch ökonomisches Kapitel, (pp. 193-212). 2008

Persistent link: https://www.econbiz.de/10003751756

Calculating concentration-sensitive capital charges with conditional value-at-risk

Tasche, Dirk; Theiler, Ursula - In: Operations research proceedings 2003 : selected papers …, (pp. 261-268). 2004

Persistent link: https://www.econbiz.de/10002072536

On the coherence of expected shortfall

Acerbi, Carlo; Tasche, Dirk - In: Journal of banking & finance 26 (2002) 7, pp. 1487-1503

Persistent link: https://www.econbiz.de/10001688668

Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered Bonds

Tasche, Dirk - 2016

Covered bonds are a specific example of senior secured debt. If the issuer of the bonds defaults the proceeds of the assets in the cover pool are used for their debt service. If in this situation the cover pool proceeds do not suffice for the debt service, the creditors of the bonds have...

Persistent link: https://www.econbiz.de/10013004666