Browsing Faculty of Natural and Agricultural Sciences by Subject "procyclical"

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    • Implementing the countercyclical capital buffer in South Africa: practical considerations 

      Burra, Pravin; De Jongh, Pieter Juriaan; Raubenheimer, Helgard; Van Vuuren, Gary; Wiid, Henco (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 

      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 ...