Now showing items 1-2 of 2

    • 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. ...
    • Trading book risk metrics: a South African perspective 

      Visser, Dirk; Van Vuuren, Gary (AOSIS, 2016)
      The regulatory market risk metric - Value at Risk - has remained virtually unchanged since its introduction by JP Morgan in 1996. Many prominent examples of market risk underestimation have undermined the credibility of ...