Economic capital for credit risk in the trading book

Wynand Smit () and Gary van Vuuren and Paul Styger
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Wynand Smit: Absa Capital: Investment Bank Division of Absa Bank and School of Economics, North-West University
Gary van Vuuren and Paul Styger: School of Economics, North-West University

South African Journal of Economic and Management Sciences, 2011, vol. 14, issue 2, 138-152

Keywords: Basel II; holding period; credit risk; trading book; economic capital (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2011
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