Browsing Faculty of Economic and Management Sciences by Author "10061231 - Styger, Paul"
Now showing items 1-17 of 17
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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 ... -
Adapting the Macaulay duration for defaultable and option-embedded bonds
(Faculty of Economic and Management Sciences, University of Pretoria., 2008)Most contemporary bonds have embedded options and all face the possibility of default. Both features introduce risk (the former market risk and the latter credit risk) by altering the quantity and timing of the promised ... -
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 y means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational risk. ... -
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. ... -
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 ... -
Economic capital for credit risk in the trading book
(2011)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 credit risk in Basel II
(Sabomet, 2011)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 ... -
The effect of stressed economic conditions on systemic risk within the South African banking sector
(Wiley-Blackwell, 2011)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 ... -
Further evidence of long memory in the South African Stock Market
(Wiley-Blackwell, 2009)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 ... -
Improved investment performance using the portfolio diversification index
(Sabinet, 2012)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
(Wiley, 2012)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 impact ... -
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 ... -
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 protect ... -
Review of subnational credit rating methodologies and the applicability in the South African context
(Taylor & Francis / Unisa Press, 2013)A credit rating is a prerequisite to enter financial markets. While most sovereigns have assigned credit ratings, many subnational governments (i.e. states, provinces or counties) do not, despite the considerable benefits ... -
Seasonality as an unobservable component in South African agricultural market data
(2008)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 ... -
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 ... -
A Triptych on the USD-ZAR Exchange Rate Dynamics
(EuroJournals Publishing, 2009)South Africa's small, open, resource-based economy and volatile exchange rate may not provide satisfactory conditions for purchasing power parity (PPP). The Bry-Boschan procedure, the Markov regime switching analysis and ...
