Browsing Electronic Theses and Dissertations (ETDs) by Subject "Basel"
Now showing items 1-4 of 4
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Assessing the suitability of regulatory asset correlations applied to South African loan losses
(2015)The Basel Committee on Banking Supervision (BCBS) designed the Internal Ratings Based (IRB) approach, which is based on a single risk factor model. This IRB approach was de-signed to determine banks’ regulatory capital for ... -
Estimation techniques for deriving the Basel and IFRS 9 LGD estimates on retail bank portfolios
(North-West University (South Africa), 2019)A stable financial system is essential for growth in banks. A financial crisis can damage banks, as was seen in the financial crisis of 2008. Banks are subject to government regulation to reduce the risk of future financial ... -
Lessons learnt from the deficiencies of the Basel Accords as they apply to Solvency II
(2013)Solvency II is the new European Union (EU) legislation which will replace the capital adequacy regime for the insurance industry. Considering that the banking sector has experienced a similar change through the different ... -
Risk aggregation and capital allocation using copulas
(North-West University, 2014)Banking is a risk and return business; in order to obtain the desired returns, banks are required to take on risks. Following the demise of Lehman Brothers in September 2008, the Basel III Accord proposed considerable ...