Browsing Research Output by Subject "Basel III"

Now showing items 1-5 of 5

    • Analysis of Bank Failure: An Application of CVAR Methodology On Liquidity 

      Mpundu, Mubanga (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 countercyclical capital rules: implications for South Africa 

      Van Vuuren, Gary (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 

      Liebenberg, Francois J.N.; Van Vuuren, Gary W.; Heymans, André (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 

      Burra, Pravin; De Jongh, Pieter Juriaan; Raubenheimer, Helgard; Van Vuuren, Gary; Wiid, Henco (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 ...

    • A primer on counterparty valuation adjustments in South Africa 

      Van Vuuren, Gary; Esterhuysen, Ja'Nel (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 ...