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Now showing items 1-10 of 11
Investigating the cyclical behaviour of the dry bulk shipping market
(Taylor & Francis, 2014)
Cyclical behaviour in the shipping market was investigated, for the first time, using Fourier analysis to extract cycle frequency information from data which have been Hodrick–Prescott filtered; in this case, dry freight ...
Performance of two zero-cost derivative strategies under different market conditions
(Taylor & Francis, 2018)
Zero-cost collars are option-based strategies which—by matching prices
received and paid for the component derivatives—provide costless protection for
stock or index investments. The investors’ risk appetite determines ...
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 ...
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 ...
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. ...
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 ...
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 ...
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 ...
A case for economic capital as a pillar 1 regulatory tool
(Wiley, 2014)
Regulatory capital – as a tool for financial regulation – has come under scrutiny following the financial crisis of 2007-2010 in terms of its ability to achieve the major objectives of financial regulations, namely ...