Modelling aggregate risk of the South African banking industry : an application to Pillar II economic capital
Year of publication: |
2018
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Authors: | Khoza, Dingaan Jack ; Muteba Mwamba, John |
Published in: |
African finance journal. - Cape Town : Africagrowth Institute, ISSN 1605-9786, ZDB-ID 2852153-5. - Vol. 20.2018, 1, p. 39-65
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Subject: | Risk aggregation | economic capital | copulas | value at risk | expected shortfall | Finanzdienstleistung | Financial services | Südafrika | South Africa | Risikomanagement | Risk management | Risikomaß | Risk measure | Bankrisiko | Bank risk | Multivariate Verteilung | Multivariate distribution |
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