Browsing by Subject "Procyclicality"
Now showing items 1-3 of 3
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Exploring contingent convertible bond alternatives for African banks
(AOSIS, 2018)Background: A variant of the contingent convertible bond, first proposed in 2011, is investigated: the Call Option Enhanced Reverse Convertible (COERC). Although issued as a bond, it converts to new shareholder’s equity ... -
Managing capital procyclicality in African banks using contingent convertible bonds
(North-West University, 2019)In times of financial distress, banks struggle to source additional capital from reluctant private investors. Sovereign bailouts prevent disruptive insolvencies but distort bank incentives. Contingent convertible capital ... -
Measuring and mitigating capital procyclicality in South African banks
(North-West University (South Africa) , Potchefstroom Campus, 2017)The regulatory market risk metric – Value at Risk (VaR) – has remained virtually unchanged since its introduction by JP Morgan in 1996. Many prominent examples of market risk underestimation have undermined the credibility ...