## References

[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...*