Now showing items 1-2 of 2

    • Economic capital for credit risk in the trading book 

      Smit, Wynand; Styger, Paul; Van Vuuren, Gary Wayne (2011)
      The Basel II accord sets out detailed formulations (in its Internal Ratings Based approaches) for determining credit risk capital in the banking book, but until recently, credit risk in the trading-book was largely ignored. ...
    • Stochastic control of credit default insurances for subprime residential mortgage-backed securities 

      Petersen, Mark Adam; Schoeman, Ilse Maria; Mulaudzi, M.P.; Mukuddem-Petersen, Janine; De Waal, Bernadine (Wiley, 2011)
      Subprime residential mortgage securitization and its associated risks have been a major topic of discussion since the onset of the mortgage crisis in July 2007. In this paper, we provide a stochastic dynamic model for ...