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Options positions : risk measurement and capital requirements
Estrella, Arturo, (1994)
Methods for evaluating value-at-risk estimates
López, José A., (1998)
Concave risk measures in international capital regulation
Kondor, Imre, (2004)
Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives
Kupiec, Paul H., (2002)
Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk
The New Basel Capital Accord : The Devil is in the (Calibration) Details
Kupiec, Paul H., (2001)