IDEAS home Printed from https://ideas.repec.org/a/pre/journl/v14y2011i2p138-152.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: http://sajems.org/index.php/sajems/article/view/70/63
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Amadeo Alentorn & Sheri Markose, 2008. "Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 47-71, Springer.
    2. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
    3. Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), 2008. "Computational Methods in Financial Engineering," Springer Books, Springer, number 978-3-540-77958-2, July.
    4. Jeremy Berkowitz & James O'Brien, 2002. "How Accurate Are Value‐at‐Risk Models at Commercial Banks?," Journal of Finance, American Finance Association, vol. 57(3), pages 1093-1111, June.
    5. Marie-Florence Lamy, 2006. "The treatment of Credit Risk in the Basel Accord and Financial Stability," Post-Print hal-00566534, HAL.
    6. Gerhard Van de Venter, 2000. "Backtesting historical simulation value-at-risk for a selected portfolio of South African bonds," Published Paper Series 2000-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    7. Adrian, Tobias & Shin, Hyun Song, 2010. "Liquidity and leverage," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 418-437, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
    2. Lazar, Emese & Zhang, Ning, 2019. "Model risk of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 74-93.
    3. Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 150-160.
    4. Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, University of Reading.
    5. Farmer, J. Doyne & Kleinnijenhuis, Alissa & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," INET Oxford Working Papers 2020-14, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
    6. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models-at-risk," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
    7. Alexandros Kostakis & Nikolaos Panigirtzoglou & George Skiadopoulos, 2011. "Market Timing with Option-Implied Distributions: A Forward-Looking Approach," Management Science, INFORMS, vol. 57(7), pages 1231-1249, July.
    8. Jezabel Couppey-Soubeyran, 2010. "Financial Regulation in the Crisis Regulation, Market Discipline, Internal Control: the Big Three in Turmoil," International Economics, CEPII research center, issue 123, pages 13-29.
    9. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524.
    10. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
    11. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    12. Köksal, Bülent & Orhan, Mehmet, 2012. "Market risk of developed and developing countries during the global financial crisis," MPRA Paper 37523, University Library of Munich, Germany.
    13. Muzzioli, Silvia, 2015. "The optimal corridor for implied volatility: From periods of calm to turmoil," Journal of Economics and Business, Elsevier, vol. 81(C), pages 77-94.
    14. Tobias Adrian & Nina Boyarchenko, 2013. "Intermediary balance sheets," Staff Reports 651, Federal Reserve Bank of New York.
    15. Chen, Sichong, 2013. "How do leverage ratios affect bank share performance during financial crises: The Japanese experience of the late 1990s," Journal of the Japanese and International Economies, Elsevier, vol. 30(C), pages 1-18.
    16. Guarin, Alexander & Lozano, Ignacio, 2017. "Credit funding and banking fragility: A forecasting model for emerging economies," Emerging Markets Review, Elsevier, vol. 32(C), pages 168-189.
    17. Fritz Breuss, 2016. "The Crisis Management of the ECB," WIFO Working Papers 507, WIFO.
    18. Schroeder, Anna Louise & Fryzlewicz, Piotr, 2013. "Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery," LSE Research Online Documents on Economics 54934, London School of Economics and Political Science, LSE Library.
    19. Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2023. "Burned by leverage? Flows and fragility in bond mutual funds," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 354-380.
    20. Raffestin, Louis, 2014. "Diversification and systemic risk," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 85-106.

    More about this item

    Keywords

    Basel II; holding period; credit risk; trading book; economic capital;
    All these keywords.

    JEL classification:

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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pre:journl:v:14:y:2011:i:2:p:138-152. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rangan Gupta (email available below). General contact details of provider: https://edirc.repec.org/data/decupza.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.