Credit Risk

Understanding the Recovery Rates on Defaulted Securities, Acharya, Viral V., Sreedar T. Bharath, Anand Srinivasan, 2003. 
Credit Risk Modelling: Current Practices and Applications, Basle Committee on Banking Supervision, Basel, April 1999. 
Modeling Default Risk, Crosbie P.J. (1999), KMV Corporation, San Francisco. 
The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality, Altman E., Resti A., Sironi A., International Association of Swaps and Derivatives Dealers (ISDA), London, 2001 (Appendix I.A). 
Credit Risk Rating at Large U.S. Banks, Treacy W.F. Carey M.S., Federal Reserve Bullettin, November 1998 (also published in Journal of Banking & Finance, n.24 2000). 
International Convergence of Capital Measurement and Capital Standards – A Revised Framework, Basel Committee on Banking Supervision, November 2005. 
Creditrisk+, a Credit Risk Management Framework, Credit Suisse Financial Products (1997), Credit Suisse Financial Products, London. 
Creditmetrics – Technical Document – The Benchmark for Understanding Credit Risk, Gupton G., Finger C.C., Bhatia M. (1997), J.P.Morgan & Co. Inc, New York. 
Information Production in Credit Relationships: On the Role of Internal Ratings in Commercial Banking, Brunner A. Krahnen J.P. Weber M., WP 2000/10 Center for Financial Studies, Frankfurt University.