Now showing items 1-10 of 18
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 ...
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)
Pricing weather derivatives for the chardonnay cultivar in Wellington using a credit default SWAP methodology
(Unisa/Taylor & Francis, 2011)
Most South African farmers employ standard insurance to protect crops from natural disasters such as hail or strong winds, but no insurance contracts exist to compensate for rain damage (although floods are covered), or ...
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 ...
The accountancy implications of commodity derivatives: a South African agricultural sector case study
(Taylor & Francis, 2012)
Agricultural companies and commodity processors trade commodity derivatives on the SAFEX Commodity Derivatives market to hedge themselves and their producers against commodity price risk. Agricultural companies have to ...