Now showing items 1-2 of 2

    • A case for economic capital as a pillar 1 regulatory tool 

      Jacobs, Johann; Van Vuuren, Gary (Wiley, 2014)
      Regulatory capital – as a tool for financial regulation – has come under scrutiny following the financial crisis of 2007-2010 in terms of its ability to achieve the major objectives of financial regulations, namely ...
    • 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. ...