Now showing items 1-3 of 3

    • 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 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 ...