Assessment of business risk economic capital for South Africa banks : a response to Pillar 2 of Basel II

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dc.contributor.authorAlie, Kaylene Jean
dc.date.accessioned2018-02-16T07:59:33Z
dc.date.available2018-02-16T07:59:33Z
dc.date.issued2016
dc.descriptionThesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2016
dc.description.abstractThe 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.en_ZA
dc.description.librarianGR2018en_ZA
dc.format.extentOnline resource (50 leaves)
dc.identifier.citationAlie, Kaylene Jean (2016) University of the Witwatersrand, Johannesburg, <https://hdl.handle.net/10539/23989>
dc.identifier.urihttps://hdl.handle.net/10539/23989
dc.language.isoenen_ZA
dc.subject.lcshBank capital
dc.subject.lcshBasel II (2004 June 26)
dc.subject.lcshRisk management--Mathematical models
dc.subject.lcshBanks and banking--South Africa
dc.subject.lcshFinancial institutions--South Africa
dc.titleAssessment of business risk economic capital for South Africa banks : a response to Pillar 2 of Basel IIen_ZA
dc.typeThesisen_ZA
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