Now showing items 1-10 of 17
Adapting the Macaulay duration for defaultable and option-embedded bonds
(Faculty of Economic and Management Sciences, University of Pretoria., 2008)
Most contemporary bonds have embedded options and all face the possibility of default. Both features introduce risk (the former market risk and the latter credit risk) by altering the quantity and timing of the promised ...
Further evidence of long memory in the South African Stock Market
This paper expands and augments the results of the paper by Jefferis and Thupayagale) and tests the efficiency of the South African stock market with Wavelet and Markov Switching Regime analyses of selected shares and the ...
The case of accounting treatment of options in the South African agricultural sector
(Babes-Bolyai University of Cluj Napoca, 2011)
The main objective of the study is to investigate the accounting treatment of commodity options in the South African agricultural sector. Option contracts fall within the definition of a derivative as defined by IAS 39. ...
The effect of stressed economic conditions on systemic risk within the South African banking sector
The credit crisis resulted in increases in credit, market and operational risk, but it may also have precipitated a surge in systemic risk. Measuring systemic risk as the price of insurance against distressed losses in the ...
A Triptych on the USD-ZAR Exchange Rate Dynamics
(EuroJournals Publishing, 2009)
South Africa's small, open, resource-based economy and volatile exchange rate may not provide satisfactory conditions for purchasing power parity (PPP). The Bry-Boschan procedure, the Markov regime switching analysis and ...
Calculating operational value-at-risk (OpVaR) in a retail bank
(Faculty of Economic and Management Sciences, University of Pretoria, 2008)
The economic architecture of the two De Kocks
(Taylor & Francis, 2011)
Although the annual budget speech traditionally focused on fiscal matters, the minister of finance regularly covered monetary policy issues in his speech. This paper reviews and compares the monetary policy statements/views ...
Structural default models applied to South African banks
(Bureau for Economic Research and the Graduate School of Business, University of Stellenbosch, 2008)
The effect of stressed economic conditions on credit risk in Basel II
The robustness of the Basel II accord in protecting banks during volatile economic periods has been challenged during the ongoing credit crisis. In particular, advanced approaches to measuring and managing credit risk have ...