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Trading book risk metrics: a South African perspective
(AOSIS, 2016)
The regulatory market risk metric - Value at Risk - has remained virtually unchanged since its introduction by JP Morgan in 1996. Many prominent examples of market risk underestimation have undermined the credibility of ...
Evaluating illiquidity and systemic contagion in South African banks
(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 ...