Browsing by Subject "Credit risk"
Now showing items 1-10 of 10
-
Assessing the suitability of regulatory asset correlations applied to South African loan losses
(2015)The Basel Committee on Banking Supervision (BCBS) designed the Internal Ratings Based (IRB) approach, which is based on a single risk factor model. This IRB approach was de-signed to determine banks’ regulatory capital for ... -
Credit appraisal for working capital finance to agricultural small and medium enterprises at Land Bank
(North-West University (South Africa), 2019)The credit appraisal process plays a crucial role in a bank's lending function. It is part of the bank's risk management system that seeks to reduce exposure to credit risk. The main purpose of this study was to examine ... -
Discrete time modeling of subprime mortgage credit
(North-West University, 2010)Many analysts believe that problems in the United States housing market initiated the 2007-2009 global financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundations of the financial industry ... -
The effect of stressed economic conditions on credit risk in Basel II
(Sabomet, 2011)The robustness of the Basel II accord in protecting banks during volatile economic periods has been challenged during the ongoing credit crisis. In particular, advanced approaches to measuring and managing credit risk have ... -
Measuring and mitigating capital procyclicality in South African banks
(North-West University (South Africa) , Potchefstroom Campus, 2017)The regulatory market risk metric – Value at Risk (VaR) – has remained virtually unchanged since its introduction by JP Morgan in 1996. Many prominent examples of market risk underestimation have undermined the credibility ... -
An optimised credit scorecard to enhance cut-off score determination
(AOSIS, 2018)Background: Credit scoring is a statistical tool allowing banks to distinguish between good and bad clients. However, literature in the world of credit scoring is limited. In this article parametric and non-parametric ... -
The relationship between political risk, credit risk and profitability in the South African banking sector
(North-West University (South Africa), Vaal Triangle Campus, 2016)As the cornerstone of every economic structure, the financial system is one of the most important key elements in the economic development and economic growth of every country. The structure of the financial system comprises ... -
Residential mortgage loan securitization and the subprime crisis
(North-West University, 2010)Many analysts believe that problems in the U.S. housing market initiated the 2008–2010 global financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundations of the financial industry by causing ... -
The subprime mortgage crisis : asset securitization and interbank lending
(North-West University, 2009)Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues ... -
Subtleties in arbitrage pricing under real market conditions for derivative instruments and counterparty credit risk
(North-West University (South Africa), 2016)The thesis consist of four articles presented in seperate chapters, addressing selected subtle issues arising from the arbitrage pricing theory in the real market, with particular focus on derivative instruments and ...