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Economic capital for credit risk in the trading book

Author

Listed:
  • Wynand Smit

    () (Absa Capital: Investment Bank Division of Absa Bank and School of Economics, North-West University)

  • Gary van Vuuren and Paul Styger

    (School of Economics, North-West University)

Abstract

No abstract is available for this item.

Suggested Citation

  • Wynand Smit & Gary van Vuuren and Paul Styger, 2011. "Economic capital for credit risk in the trading book," South African Journal of Economic and Management Sciences, University of Pretoria, Faculty of Economic and Management Sciences, vol. 14(2), pages 138-152, June.
    • Handle: RePEc:pre:journl:v:14:y:2011:i:2:p:138-152
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    More about this item

    Keywords

    Basel II; holding period; credit risk; trading book; economic capital;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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