Trading book risk metrics: A South African perspective
South African Journal of Economic and Management Sciences
| Field | Value | |
| Title | Trading book risk metrics: A South African perspective | |
| Creator | van Vuuren, Gary Wayne Visser, Dirk | |
| Description | 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 VaR, prompting the search for better, more robust measures. Expected shortfall and procyclical capital buffers have been proposed by regulatory authorities, but neither is without problems. Bubble VaR a coherent measure which avoids many of the pitfalls to which other measures have succumbed was designed to be both forward-looking and countercyclical. Although tested on other markets, here it is applied to various South African prices and the results compared with both international observations and other market risk measures. Bubble VaR is found to perform consistently and reliably under all market conditions. | |
| Publisher | AOSIS Publishing | |
| Date | 2016-03-02 | |
| Identifier | 10.4102/sajems.v19i1.1316 | |
| Source | South African Journal of Economic and Management Sciences; Vol 19, No 1 (2016); 118-138 2222-3436 1015-8812 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajems.org/index.php/sajems/article/view/1316/613
https://sajems.org/index.php/sajems/article/downloadSuppFile/1316/420
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