Browsing by Subject "Basel II"

Now showing items 1-10 of 10

    • A critical review of the Basel margin of conservatism requirement in a retail credit context 

      De Jongh, Riaan; Verster, Tanja; Reynolds, Elzabe; Raubenheimer, Helgard; Joubert, Morne (Clute Institute, 2017)
      The Basel II accord (2006) includes guidelines to financial institutions for the estimation of regulatory capital (RC) for retail credit risk. Under the advanced Internal Ratings Based (IRB) approach, the formula suggested ...

    • Discrete time modeling of subprime mortgage credit 

      Senosi, Mmamontsho Charlotte (North-West University, 2010)
      Many analysts believe that problems in the United States housing market initiated the 2007-2009 global financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundations of the financial industry ...

    • 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. ...

    • The effect of stressed economic conditions on credit risk in Basel II 

      Styger, Paul; Van Vuuren, Gary Wayne (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 financial crisis : reforming the South African risk management environment 

      Esterhuysen, Ja'nel Tobias (North-West University, 2010)
      The global financial crisis that commenced in June 2007 has been described as the most serious financial crisis since the Great Depression of the 1930s. It resulted in considerable international distress with almost all ...

    • The management of operational risk in South African banks 

      Esterhuysen, Ja'nel Tobias (North-West University, 2003)
      One of the biggest problems South African banks are experiencing when managing operational risk is the lack of a single definition for operational risk. Operational risk can take many forms; for example computer system ...

    • The management of operational value at risk in banks 

      Esterhuysen, Ja'nel Tobias (North-West University, 2006)
      The measurement of operational risk has surely been one of the biggest challenges for banks worldwide. Most banks worldwide have opted for a value-at-risk (VaR) approach, based on the success achieved with market risk, ...

    • The regulatory treatment of liquidity risk in South Africa 

      Jacobs, Johann Renier Gabriel (North-West University, 2008)
      South Africa will be implementing Basel II on 1 January 2008. Basel II provides regulatory capital requirements for credit risk, market risk and operational risk. The purpose of capital requirements is to level the playing ...

    • The regulatory treatment of liquidity risk in South Africa 

      Jacobs, Johann; Styger, Paul; Van Vuuren, Gary (University of Pretoria. Faculty of Economic and Management Sciences, 2012)
      The Basel accord describes the regulatory capital requirements for credit, market and operational risk. The accord aims to provide guidelines to level the playing field for all internationally active banks and to protect ...

    • Risk–based capital measures for operational risk management 

      Snyman, Philippus (North-West University, 2011)
      Basel II provides banks with four options that may be used to calculate regulatory capital for operational risk. Each of these options (except the most basic approach) requires an underlying risk measurement and management ...