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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 ...
Banking competition and misconduct: how dire economic conditions affect banking behavior
(Business Perspectives, 2016)
Increasingly, in the last decade, largely due to perceived greater shareholder pressures for more profitable performance, compensation maximization has taken center stage in some segments of the banking industry. Banks ...
Forecasting the South African business cycle using Fourier Analysis
(Clute Institute, 2016)
A Fourier transform analysis is proposed to determine the duration of the South African business cycle, measured using log changes in nominal gross domestic product (GDP). The most prominent cycle (two smaller, but ...
Pricing contingent convertible bonds in African banks
(AOSIS, 2016)
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 ...
The effect of yield curve shape and level on bond immunisation effectiveness
(Taylor & Francis, 2016)
The effect of different-shaped yield curves on the effectiveness of bond immunisation was investigated. Bonds were priced using historical yield curves of various shapes and simulated interest rate shocks applied. The ...