1. The concept of ‘economic capital’ is discussed in the chapter titled ‘Capital—risk, regulation and adequacy’.
2. This approach is taken by Stephanou, Constantinos and Mendoza, Juan Carlos, 2005, ‘Credit risk measurement under Basel II: An overview and implementation issues for developing countries’, World Bank Policy Research Working Paper 3556, 11.
4. A detailed description of these methods is provided in Scheurmann, Til, 2004, ‘What do we know about Loss given Default?’, Wharton Financial Institutions Center Working Paper Series 04–01.
5. Altman, Edward I, Brooks Brady, Andrea Resti and Andrea Sironi, ‘The Link Between Default and Recovery Rates: Theory, Empirical Evidence and Implications’, Journal ...