78 citations · 341 across the 31 of their papers we have counts for
4 papers · 1 filter
Estimating Probabilities of Default for Low Default Portfolios
Katja Pluto, Dirk Tasche
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrow…
The single risk factor approach to capital charges in case of correlated loss given default rates
Dirk Tasche
A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGD and default event w…
Calculating Concentration-Sensitive Capital Charges with Conditional Value-at-Risk
Dirk Tasche, Ursula Theiler
By mid 2004, the Basel Committee on Banking Supervision (BCBS) is epected to launch its final recommendations on minimum capital requirements in the banking industry. Although ther…
Calculating credit risk capital charges with the one-factor model
Susanne Emmer, Dirk Tasche
Even in the simple one-factor credit portfolio model that underlies the Basel II regulatory capital rules coming into force in 2007, the exact contributions to credit value-at-risk…