46 citations · 94 across the 3 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-mat.other2003
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…