Economic capital for credit risk in the trading book
South African Journal of Economic and Management Sciences
| Field | Value | |
| Title | Economic capital for credit risk in the trading book | |
| Creator | Smit, Wynand van Vuuren, Gary Styger, Paul | |
| Description | 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.Thefinancial crisis in 2007/08 exposed this oversight: woefully inadequate trading book capital led to considerable losses which resulted in, inter alia, the imposition of severe capital requirements on credit riskprone securities in the trading book.Using empirical loss data, this article investigates whether these requirements are appropriate for the trading book and proposes a possible alternative which banks may use to determine economic capital. | |
| Publisher | AOSIS Publishing | |
| Date | 2011-06-06 | |
| Identifier | 10.4102/sajems.v14i2.70 | |
| Source | South African Journal of Economic and Management Sciences; Vol 14, No 2 (2011); 138-154 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/70/63
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