Assessment of business risk economic capital for South Africa banks : a response to Pillar 2 of Basel II
Date
2016
Authors
Alie, Kaylene Jean
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Abstract
The study is an assessment of the current treatment of business risk, as a significant risk
type for financial institutions. It includes an industry analysis of the five major banks in South
Africa, as well as international banks, and how these banks currently manage business risk in
the Pillar 2 supervisory process. It assesses economic capital frameworks and the
importance of business risk in the risk assessment and measurement process in the global
and local industry.
Various methodologies have been researched to assess which statistical methods are best
suited in the measurement of this risk type as well as the quantification of the capital levels
required. This study has compared the available statistical methodologies currently used in
the industry and concludes which is best given the issues pertaining to the modelling of
business risk quantification.
A statistical model has been developed to quantify business risk for a specific bank using
bank specific data, using a methodology which is relatively generic and could be applied
widely across all financial institutions. The model serves to illustrate the principles
surrounding the quantification of business risk economic capital.
Description
Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016
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Citation
Alie, Kaylene Jean (2016) University of the Witwatersrand, Johannesburg, <https://hdl.handle.net/10539/23989>