Now showing items 1-10 of 17
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 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 ...
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)
Economic capital for credit risk in the trading book
The Basel II accord sets out detailed formulations (in its Internal Ratings Based approaches) for determining credit risk capital in the banking book, but until recently, credit risk in the trading-book was largely ignored. ...
The effect of stressed economic conditions on operational risk loss distributions
(Faculty of Economic and Management Sciences, University of Pretoria, 2010)
Improved investment performance using the portfolio diversification index
The residual variance method is the traditional method for measuring portfolio diversification relative to a market index. Problems arise, however, when the market index itself is not appropriately diversified. A diversification ...
Liquidity creation in South African banks under stressed economic conditions
The financial crisis placed severe pressure on global bank liquidity. Many banks were unable to create sufficient liquidity and had to receive government support or face default. This paper attempts to determine the ...
The regulatory treatment of liquidity risk in South Africa
(University of Pretoria. Faculty of Economic and Management Sciences, 2012)
The Basel accord describes the regulatory capital requirements for credit, market and operational risk. The accord aims to provide guidelines to level the playing field for all internationally active banks and to ...