Browsing Faculty of Natural and Agricultural Sciences by Subject "procyclical"
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Implementing the countercyclical capital buffer in South Africa: practical considerations
(AOSIS, 2015)The Basel II regulatory framework significantly increased the resilience of the banking system, but proved ineffective in preventing the 2008/9 financial crisis. The subsequent introduction of Basel III aimed, inter ... -
Trading book risk metrics: a South African perspective
(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 ...