78 citations · 341 across the 31 of their papers we have counts for
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cond-mat.other2004
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…
cond-mat.other2004★ 5 cited
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…