 |
Understanding the Recovery Rates on Defaulted Securities, Acharya, Viral V., Sreedar T. Bharath, Anand Srinivasan, 2003. |
|
Credit Risk Modelling: Current Practices and Applications, Basle Committee on Banking Supervision, Basel, April 1999. |
|
Modeling Default Risk, Crosbie P.J. (1999), KMV Corporation, San Francisco. |
|
The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality, Altman E., Resti A., Sironi A., International Association of Swaps and Derivatives Dealers (ISDA), London, 2001 (Appendix I.A). |
|
Credit Risk Rating at Large U.S. Banks, Treacy W.F. Carey M.S., Federal Reserve Bullettin, November 1998 (also published in Journal of Banking & Finance, n.24 2000). |
|
International Convergence of Capital Measurement and Capital Standards – A Revised Framework, Basel Committee on Banking Supervision, November 2005. |
|
Creditrisk+, a Credit Risk Management Framework, Credit Suisse Financial Products (1997), Credit Suisse Financial Products, London. |
|
Creditmetrics – Technical Document – The Benchmark for Understanding Credit Risk, Gupton G., Finger C.C., Bhatia M. (1997), J.P.Morgan & Co. Inc, New York. |
|
Information Production in Credit Relationships: On the Role of Internal Ratings in Commercial Banking, Brunner A. Krahnen J.P. Weber M., WP 2000/10 Center for Financial Studies, Frankfurt University. |
