Bibliography

BIS (2001).

Overview of the new Basel capital accord, Technical report, Basel Committee on Banking Supervision.

Caouette, J., Altman, E. and Narayanan, P. ( 1998).

Managing Credit Risk, The Next Great Financial Challenge, Wiley Frontiers in Finance, Vol. Wiley Frontiers in Finance, Wiley & Sons, Inc, New York.

Carey, M. (1998).

Credit risk in private debt portfolios, Journal of Finance 53(4): 1363-1387.

Carey, M. (2000).

Dimensions of credit risk and their relationship to economic capital requirements.
Preprint, Federal Reserve Board.

Crouhy, M., Galai, D. and Mark, R. ( 2000).

A comparative analysis of current credit risk models, Journal of Banking and Finance 24(1-2): 59-117.

Crouhy, M., Galai, D. and Mark, R. ( 2001).

Risk management, McGraw Hill.

Embrechts, P., Lindskog, F. and McNeil, A. ( 2001).

Modelling dependence with copulas and applications to risk management.
Working paper, ETH Zürich.

Frey, R. and McNeil, A. (2001).

Modelling dependent defaults.
Working paper, ETH Zürich.

Gordy, M. (2000).

A comparative anatomy of credit risk models, Journal of Banking and Finance 24: 119-149.

Hirtle, B., Levonian, M., Saidenberg, M., Walter, S. and Wright, D. (2001).

Using credit risk models for regulartory capital: Issues and options, FRBNY Economic Policy Review 6(2): 1-18.

Jorion, P. (2000).

Value at Risk, 2nd. edn, McGraw-Hill, New York.

JP Morgan (1997).

Creditmetrics-Technical Document, JP Morgan, New York.

Kiesel, R., Perraudin, W. and Taylor, A. ( 1999).

The structure of credit risk.
Preprint, Birkbeck College.

Koyluoglu, H. and Hickmann, A. (1998)
.
A generalized framework for credit portfolio models.
Working Paper, Oliver, Wyman & Company.

Nickell, P., Perraudin, W. and Varotto, S. ( 1998).

Ratings-versus equity-based credit risk models: An empirical investigation.
unpublished Bank of England mimeo.

Ong, M. (1999).

Internal Credit Risk Models. Capital Allocation and Performance Measurement, Risk Books, London.