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dc.contributor.authorStyger, Paul
dc.contributor.authorVan Vuuren, Gary
dc.contributor.authorEsterhuysen, Janel
dc.date.accessioned2009-12-17T10:17:33Z
dc.date.available2009-12-17T10:17:33Z
dc.date.issued2008
dc.identifier.citationStyger, P. et al. 2008. Calculating operational value-at-risk (OpVaR) in a retail bank. South African journal of economic and management sciences, 11(1):1-16, Mar. [http://dx.doi.org/10.1007/s40745-018-0139-2]en
dc.identifier.issn1015-8812
dc.identifier.issn2222-3436 (Online)
dc.identifier.urihttp://hdl.handle.net/10394/2678
dc.identifier.urihttp://dx.doi.org/10.1007/s40745-018-0139-2
dc.description.abstractThe management of operational value-at-risk (OpVaR) in financial institutions is presented by means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational risk. A clear distinction between economic and regulatory capital is made, as well as the way OpVaR models may be used to calculate both types of capital. Under the Advanced Measurement Approach (AMA), banks may employ OpVaR models to calculate regulatory capital; this article therefore illustrates the differences in regulatory capital when using the AMA and the Standardised Approach (SA), by means of an example. Economic capital is found to converge with regulatory capital using the AMA, but not if the SA is used.
dc.language.isoenen
dc.publisherFaculty of Economic and Management Sciences, University of Pretoriaen
dc.titleCalculating operational value-at-risk (OpVaR) in a retail banken
dc.typeArticleen
dc.contributor.researchID10061231 - Styger, Paul
dc.contributor.researchID12001333 - Van Vuuren, Gary Wayne


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