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Asset correlations in single factor credit risk models : an empirical investigation
Stoffberg, Hestia Jacomina; Van Vuuren, Gary - In: Applied economics 48 (2016) 16/18, pp. 1602-1617
Persistent link: https://www.econbiz.de/10011456702
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Basel IV : IRB 2.0 and interdependencies with the new capital floor
Neisen, Martin - In: Journal of securities operations & custody 10 (2017/2018) 4, pp. 343-353
Persistent link: https://www.econbiz.de/10011976035
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A case for economic capital as a Pillar 1 regulatory tool
Jacobs, Johann; Van Vuuren, Gary - In: The South African journal of economics 82 (2014) 2, pp. 290-314
Persistent link: https://www.econbiz.de/10010502202
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The impact of PD-LGD correlation on expected loss and economic capital
Van Vuuren, Gary; De Jongh, Riaan; Verster, Tanja - In: International business and economics research journal 16 (2017) 3, pp. 157-170
Persistent link: https://www.econbiz.de/10011965066
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Retail credit capital charge optimisation and the new Basel Accord
Botha, Marius; Van Vuuren, Gary - In: Journal of risk management in financial institutions 2 (2008/09) 3, pp. 265-283
Persistent link: https://www.econbiz.de/10003865066
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The effectiveness of IFRS 9 transitional provisions in limiting the potential impact of COVID-19 on banks
Neisen, Martin; Schulte-Mattler, Hermann - In: Journal of banking regulation 22 (2021) 4, pp. 342-351
Persistent link: https://www.econbiz.de/10012666951
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CRD V/CRR II : a comprehensive synopsis of the first European step towards implementing Basel IV, part II
Neisen, Martin; Schulte-Mattler, Hermann - In: Journal of risk management in financial institutions 13 (2019/2020) 3, pp. 224-241
Persistent link: https://www.econbiz.de/10012300952
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Revised partial use : banking supervision on the right track
Neisen, Martin; Schulte-Mattler, Hermann - In: Journal of risk management in financial institutions 13 (2019/2020) 1, pp. 70-80
Persistent link: https://www.econbiz.de/10012250012
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CRD V/CRR II : a comprehensive synopsis of the first European step towards implementing Basel IV, part I
Neisen, Martin; Schulte-Mattler, Hermann - In: Journal of risk management in financial institutions 13 (2019/2020) 2, pp. 114-125
Persistent link: https://www.econbiz.de/10012250022
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The impact of systemic loss given default on economic capital
Van Dyk, Jenni; Lange, Jaun; Van Vuuren, Gary - In: International business and economics research journal 16 (2017) 2, pp. 87-100
Persistent link: https://www.econbiz.de/10011701563