78 citations · 341 across the 31 of their papers we have counts for
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cond-mat.other2003
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…
cond-mat2003★ 15 cited
A traffic lights approach to PD validation
Dirk Tasche
As a consequence of the dependence experienced in loan portfolios, the standard binomial test which is based on the assumption of independence does not appear appropriate for valid…
cond-mat.other2003★ 78 cited
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…