Now showing items 1-3 of 3

    • Calculating operational value-at-risk (OpVaR) in a retail bank 

      Styger, Paul; Van Vuuren, Gary; Esterhuysen, Janel (Faculty of Economic and Management Sciences, University of Pretoria, 2008)
      The management of operational value-at-risk (OpVaR) in financial institutions is presented y means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational risk. ...
    • The effect of stressed economic conditions on operational risk loss distributions 

      Esterhuysen, Janel; Styger, Paul; Van Vuuren, Gary Wayne (Faculty of Economic and Management Sciences, University of Pretoria, 2010)
      The depth and duration of the credit crisis has highlighted a number of problems in modern finance. Banks have been accused of excessive risk taking, rating agencies of severe conflicts of interest, central banks of ...
    • The effect of stressed economic conditions on systemic risk within the South African banking sector 

      Esterhuysen, Janel; Styger, Paul; Van Vuuren, Gary Wayne (Wiley-Blackwell, 2011)
      The credit crisis resulted in increases in credit, market and operational risk, but it may also have precipitated a surge in systemic risk. Measuring systemic risk as the price of insurance against distressed losses in the ...