Procyclicality in tradeable credit risk: Consequences for South Africa
Background: Tradeable credit assets are vulnerable to two varieties of credit risk: default risk (which manifests itself as a binary outcome) and spread risk (which arises as spreads change continuously). Current (2017) regulatory credit risk rules require banks to hold capital for both these risks....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2018-05-01
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| Series: | South African Journal of Economic and Management Sciences |
| Subjects: | |
| Online Access: | https://sajems.org/index.php/sajems/article/view/1706 |