SciELO - Scientific Electronic Library Online

 
vol.14 número2The effect of stressed economic conditions on credit risk in Basel IIFactors threatening the survival of independent financial advisers in their organisational life cycle: an exploratory study índice de autoresíndice de assuntospesquisa de artigos
Home Pagelista alfabética de periódicos  

Serviços Personalizados

Artigo

Indicadores

Links relacionados

  • Em processo de indexaçãoCitado por Google
  • Em processo de indexaçãoSimilares em Google

Compartilhar


South African Journal of Economic and Management Sciences

versão On-line ISSN 2222-3436
versão impressa ISSN 1015-8812

Resumo

SMIT, Wynand; VAN VUUREN, Gary  e  STYGER, Paul. Economic capital for credit risk in the trading book. S. Afr. j. econ. manag. sci. [online]. 2011, vol.14, n.2, pp.138-154. ISSN 2222-3436.

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. The financial 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 risk-prone 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.

Palavras-chave : Basel II; holding period; credit risk; trading book; economic capital.

        · texto em Inglês     · Inglês ( pdf )

 

Creative Commons License Todo o conteúdo deste periódico, exceto onde está identificado, está licenciado sob uma Licença Creative Commons