Now showing items 1-10 of 17
The effect of stressed economic conditions on operational risk loss distributions
(Faculty of Economic and Management Sciences, University of Pretoria, 2010)
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 ...
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 ...
Structural default models applied to South African banks
(Bureau for Economic Research and the Graduate School of Business, University of Stellenbosch, 2008)
We modify the structural default model of Merton to make it more readily applicable to banking firms in South Africa. In essence the modification assumes that both assets and liabilities follow geometric Brownian motion ...
Seasonality as an unobservable component in South African agricultural market data
The shortcoming of most of the tests for seasonal patterns is that the problem under investigation is formulated in a stringent manner, leading to a test of the null hypothesis of no seasonality against the alternative of ...
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 ...
Calculating operational value-at-risk (OpVaR) in a retail bank
(Faculty of Economic and Management Sciences, University of Pretoria, 2008)
The management of operational value-at-risk (OpVaR) in financial institutions is presented by means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational ...
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. ...