Articles by Dirk Tasche
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
This paper suggests simple and intuitive models for covered bonds that allow quantitative assessment of expected loss and the impact of asset encumbrance.
What is the best risk measure in practice? A comparison of standard measures
This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.