Now showing items 1-3 of 3

    • Evaluating illiquidity and systemic contagion in South African banks 

      Visser, Dirk; Van Vuuren, Gary (University of Johannesburg, 2014)
      A stress-testing model to evaluate liquidity and systemic risk in banks of developed and emerging economies has been assembled and tested. The Liquidity Stress Tester model (LST) was applied to Dutch and UK markets during ...
    • The regulatory treatment of liquidity risk in South Africa 

      Jacobs, Johann; Styger, Paul; Van Vuuren, Gary (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 protect ...
    • Subprime mortgage funding and liquidity risk 

      Petersen, Mark Adam; Fourie, Bernadine; Mukuddem-petersen, Janine; Mulaudzi, Mmboniseni Phanuel (Taylor and Francis Online, 2014)
      In this article, we use actuarial methods to solve a nonlinear stochastic optimal liquidity risk management problem for subprime originators with deposit inflow rates and marketable securities allocation as controls. The ...