Browsing Economic and Management Sciences by Subject "Procyclicality"
Now showing items 1-2 of 2
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Managing capital procyclicality in African banks using contingent convertible bonds
(North-West University, 2019)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 ... -
Measuring and mitigating capital procyclicality in South African banks
(North-West University (South Africa) , Potchefstroom Campus, 2017)The regulatory market risk metric – Value at Risk (VaR) – has remained virtually unchanged since its introduction by JP Morgan in 1996. Many prominent examples of market risk underestimation have undermined the credibility ...