Browsing Research Output by Author "77425492-7a2f-4a06-b94d-c427db158d5a"
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A comparison of risk aggregation estimates using copulas and Fleishman distributions
Van Vuuren, Gary; De Jongh, Riaan (Taylor & Francis, 2017)Determining banks’ expected losses (EL) is straightforward because they are calculated using a linear combination of credit risk-related measures. Non-linear metrics, like economic capital (EC), pose considerable ... -
A critical review of the Basel margin of conservatism requirement in a retail credit context
De Jongh, Riaan; Verster, Tanja; Reynolds, Elzabe; Raubenheimer, Helgard; Joubert, Morne (Clute Institute, 2017)The Basel II accord (2006) includes guidelines to financial institutions for the estimation of regulatory capital (RC) for retail credit risk. Under the advanced Internal Ratings Based (IRB) approach, the formula suggested ... -
The impact of PD-LGD correlation on expected loss and economic capital
Van Vuuren, Gary; De Jongh, Riaan; Verster, Tanja (Klute Institute, 2017)The Basel regulatory credit risk rules for expected losses require banks use downturn loss given default (LGD) estimates because the correlation between the probability of default (PD) and LGD is not captured, even though ... -
A motivation for banks in emerging economies to adapt agency ratings when assessing corporate credit
Verster, Tanja; De Jongh, Riaan; Fourie, Erika; De Wet, Dries; Greenberg, Simon (AOSIS, 2019)Background: This article considers whether South African banks should utilise the credit ratings provided by US-based credit rating agencies when assessing the creditworthiness of corporate borrowers. Aim: A review is ...