Browsing by Subject "Basel III"
Now showing items 1-9 of 9
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Analysis of Bank Failure: An Application of CVAR Methodology On Liquidity
(Virtus Interpress, 2017)In this paper, balance sheet liquidity data was analyzed comprising of 157 Class I and 234 Class II banks. Class I banks are categorized as those with tier 1 capital in excess of $4 billion and internationally active while ... -
Basel III and asset securitization
(North-West University (South Africa), 2015)Asset securitization via special purpose entities involves the process of transforming receivable assets into sellable securities that are issued to investors. These investors hold the rights to payments supported by the ... -
Basel III countercyclical capital rules: implications for South Africa
(University of Pretoria, 2012)The financial crisis has been blamed on many entities, institutions and individuals as well as the Basel II accord which had just begun to be implemented globally when the crisis erupted. The criticisms resulted in the ... -
Exploring contingent convertible bond alternatives for African banks
(AOSIS, 2018)Background: A variant of the contingent convertible bond, first proposed in 2011, is investigated: the Call Option Enhanced Reverse Convertible (COERC). Although issued as a bond, it converts to new shareholder’s equity ... -
Implementing the countercyclical capital buffer in South Africa: practical considerations
(AOSIS, 2015)The Basel II regulatory framework significantly increased the resilience of the banking system, but proved ineffective in preventing the 2008/9 financial crisis. The subsequent introduction of Basel III aimed, inter ... -
Investigating Liquidity Risk Management in the Namibian Banking System
(North-West University (South Africa), 2021)Liquidity dried up in the 2007-2009 global financial crisis as banks were not able to borrow money from each other or either obtain money from the inter-market, which led to the closure and bailing out of various financial ... -
Managing capital procyclicality in African banks using contingent convertible bonds
(North-West University, 2019)In times of financial distress, banks struggle to source additional capital from reluctant private investors. Sovereign bailouts prevent disruptive insolvencies but distort bank incentives. Contingent convertible capital ... -
A primer on counterparty valuation adjustments in South Africa
(University of Pretoria, 2014)Counterparty valuation adjustment (CVA) risk accounts for losses due to the deterioration in credit quality of derivative counterparties with large credit spreads. Of the losses attributed to counterparty credit risk ... -
Subtleties in arbitrage pricing under real market conditions for derivative instruments and counterparty credit risk
(North-West University (South Africa), 2016)The thesis consist of four articles presented in seperate chapters, addressing selected subtle issues arising from the arbitrage pricing theory in the real market, with particular focus on derivative instruments and ...
