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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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    References listed on IDEAS

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    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, March.
    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.
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    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

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