53 citations · 122 across the 24 of their papers we have counts for
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q-fin.RM2014★ 26 cited
Regulatory Capital Modelling for Credit Risk
Marek Rutkowski, Silvio Tarca
The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We ou…
q-fin.RM2014★ 1 cited
Assessing the Basel II Internal Ratings-Based Approach: Empirical Evidence from Australia
Silvio Tarca, Marek Rutkowski
The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk implements an asymptotic single risk factor (ASRF) model. Measurements from the ASRF model of…