[1] History of the Basel Committee

[2] Basel Committee on Banking Supervision (Charter)

[3] Committee on Banking Regulations and Supervisory Practices (1987): Proposals for international convergence of capital measurement and capital standards; Consultative paper; December 1987

[4] Basel Committee on Banking Supervisions (1999): A New Capital Adequacy Framework; Consultative paper; June 1999

[5] Artzner, P.; Delbaen, F.; Eber, J. M.; Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9 (3 ed.): p. 203

[6] Wilmott, P. (2006). Quantitative Finance 1 (2 ed.): p. 342

[7] Acerbi, C.; Tasche, D. (2002). Expected Shortfall: a natural coherent alternative to Value at Risk. Economic Notes 31: p. 379–388

[8] Basel II Comprehensive Version

[9] Hull, J. C. (2002). Options, Futures and Other Derivatives (5th ed.)

[10] Principles for the Management of Credit Risk - final document. Basel Committee on Banking Supervision. BIS. (2000)

[11] Crosbie, P., Bohn, J. (2003): Modeling default risk. Technical Report, Moody's KMV

[12] Crouhy, M., Galai, D., Mark, R. (2000): A comparative analysis of current credit risk models. Journal of Banking & Finance, 24:59–117

[13] MSCI CreditMetrics Technical Book