1Range of Practice in Banks' Internal Rating System, Model Task Force, Basel Committee, June, 2000.
2Greg, M. ; Gupton, Roger and Stein, M., 2002. EossCalc: Model for Predicting loss Given Default, Special Comment, Moody' s Investors Service, Feb., pp. 13 - 19.
3Altman, Edward I. & Pompei, Jason, 2002. “ The Performance of Default Bonds and Bank loans: 1987 - 2001. “NYU Salmon Center Working Paper, No. 0716.
4Asarnow, Elliot and Edwards, David, 2004. Measuring Loss on Defaulted Bank Loans: A 24 - year Study.“ Journal of Commercial Lending, 11, pp. 35 - 48.
5Carty, L. and Liebernan, D., 1996. “Defaulted Bank Loan Recoveries, Mood's Special Comment. “NBER Working Paper, No. 1115.
6Carey, Mark, 1998. “Credit Risk in Private Debt Portfolios.“ Journal of Finance, 2, pp. 78 - 82
7Eales,R. and Bosworth, E. ,1998. “Severity of Loss in the Event of Default in Small Burdened Large Consumer Loans.“ Journal of Lending & Credit Risk Management, 6, pp. 35 - 52.
8Frye, J., 2000. “ Depressing Recoveries, An Abridged Version Appeared in Risk. “NBER Working Paper, No.0326.
9Grossman, R. ; O' Shea, S. and Bonelli, S., 2001. “Bank Loan and Bond Recovery Study: 1997 - 2000 Fitch Loan Product Special Report. “NBER Working Paper, No.0533.
10Hu and Peraudin, W., 2002. “The Dependence of Recovery Rates and Defaults. “CEPR Working Paper, No. 2356.
二级参考文献45
1Basel Committee, Potential Modifications to the Committee's Proposals, 5 Nov., 2001.
2Basel Committee, Results of Quantitative Impact Study 2.5, 25 June, 2002.
3Basel Committee, New Basel Capital Accord CP3, April 2003.
4Basel Committee, Quantitative Impact Study 3 - Overview of Global Results, 5 May, 2003.
5Basel Committee, Modifications to the capital treatment for expected and unexpected credit losses in the New Basel Accord, 30 Jan. 2004.
6Basel Committee, The Internal Ratings - Based Approach, Supporting Document the CP2 , Jan. 2001.
7Basel Committee, Range of Practice in Banks' Internal Ratings System, Jan. 2000.
8OCC, US, Rating Credit Risk, Comptrollers Handbook, April 2001.
9Working group led by Arturo Estrella, Credit Ratings and Complementary Sources of Credit Quality Information, Basel Committee Working Papers, No. 3, August 2000.
10Mark Carey, Federal Reserve Board, Some Evidence on the Consistency of Banks' Internal Credit Ratings.
