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The impact of the FRTB on Market Risk Capital for the South African InterBank Interest Rate Market
Regulations require banks to hold a minimum amount of capital for market risk resulting from their trading operations and prescribe two approaches to calculating this minimum capital requirement: (i) a Standardised Approach (SA); and (ii) an Internal Models Approach (IMA). The global financial crisi...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2021
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