SciELO - Scientific Electronic Library Online

vol.19 issue1Comparing the power and influence of functional managers with that of project managers in matrix organisations: The challenge in duality of commandChallenges with the financial reporting of biological assets by public entities in South Africa author indexsubject indexarticles search
Home Pagealphabetic serial listing  

Services on Demand



Related links

  • On index processCited by Google
  • On index processSimilars in Google


South African Journal of Economic and Management Sciences

On-line version ISSN 2222-3436
Print version ISSN 1015-8812


VISSER, Dirk  and  VAN VUUREN, Gary. Trading book risk metrics: A South African perspective. S. Afr. j. econ. manag. sci. [online]. 2016, vol.19, n.1, pp.118-138. ISSN 2222-3436.

The regulatory market risk metric - Value at Risk - has remained virtually unchanged since its introduction by JP Morgan in 1996. Many prominent examples of market risk underestimation have undermined the credibility of VaR, prompting the search for better, more robust measures. Expected shortfall and procyclical capital buffers have been proposed by regulatory authorities, but neither is without problems. Bubble VaR -a coherent measure which avoids many of the pitfalls to which other measures have succumbed - was designed to be both forward-looking and countercyclical. Although tested on other markets, here it is applied to various South African prices and the results compared with both international observations and other market risk measures. Bubble VaR is found to perform consistently and reliably under all market conditions.

Keywords : value at risk; bubble VaR; expected shortfall; procyclical; trading book.

        · text in English     · English ( pdf )


Creative Commons License All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License