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Now showing items 11-17 of 17
Calculating operational value-at-risk (OpVaR) in a retail bank
(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. ...
Seasonality as an unobservable component in South African agricultural market data
(2008)
The shortcoming of most of the tests for seasonal patterns is that the problem under investigation is formulated in a stringent manner, leading to a test of the null hypothesis of no seasonality against the alternative of ...
The effect of stressed economic conditions on operational risk loss distributions
(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 credit risk in Basel II
(Sabomet, 2011)
The robustness of the Basel II accord in protecting banks during volatile economic periods has been challenged during the ongoing credit crisis. In particular, advanced approaches to measuring and managing credit risk have ...
The case of accounting treatment of options in the South African agricultural sector
(Babes-Bolyai University of Cluj Napoca, 2011)
The main objective of the study is to investigate the accounting treatment of commodity options in the South African agricultural sector. Option contracts fall within the definition of a derivative as defined by IAS 39. ...
Economic capital for credit risk in the trading book
(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. ...
Structural default models applied to South African banks
(Bureau for Economic Research and the Graduate School of Business, University of Stellenbosch, 2008)
We modify the structural default model of Merton to make it more readily applicable to banking firms in South Africa. In essence the modification assumes that both assets and liabilities follow geometric Brownian motion ...