scholarly journals Evaluating illiquidity and systemic contagion in South African banks

2014 ◽  
Vol 7 (3) ◽  
pp. 697-720
Author(s):  
Dirk Visser ◽  
Gary Van Vuuren
Keyword(s):  
South African ◽  
Emerging Economies ◽  
Systemic Risk ◽  
Stress Testing ◽  
Feedback Effects ◽  
Testing Model ◽  
Banking Systems

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 crisis and non-crisis periods in previous research – here it is applied to South African banks. The flexibility and adaptability of the LST allows different banking systems and reactions of system participants to be evaluated comprehensively. Feedback effects arising from bank reactions to severely stressed haircuts and increases in systemic risk caused by reputation degradation are considered, as is the effect of enhanced contagion from other banks. 

scholarly journals Measuring the systemic risk in the South African banking sector

2017 ◽  
Vol 20 (1) ◽  
Author(s):  
Gregory M. Foggitt ◽  
Andre Heymans ◽  
Gary W. Van Vuuren ◽  
Anmar Pretorius
Keyword(s):  
Financial Crisis ◽  
South African ◽  
Systemic Risk ◽  
Banking Sector ◽  
Risk Index ◽  
Financial Sector ◽  
Ethical Behaviour ◽  
The South ◽  
Case Scenario ◽  
Worst Case

Background: In the aftermath of the sub-prime crisis, systemic risk has become a greater priority for regulators, with the National Treasury (2011) stating that regulators should proactively monitor changes in systemic risk.Aim: The aim is to quantify systemic risk as the capital shortfall an institution is likely to experience, conditional to the entire financial sector being undercapitalised.Setting: We measure the systemic risk index (SRISK) of the South African (SA) banking sector between 2001 and 2013.Methods: Systemic risk is measured with the SRISK.Results: Although the results indicated only moderate systemic risk in the SA financial sector over this period, there were significant spikes in the levels of systemic risk during periods of financial turmoil in other countries. Especially the stock market crash in 2002 and the subprime crisis in 2008. Based on our results, the largest contributor to systemic risk during quiet periods was Investec, the bank in our sample which had the lowest market capitalisation. However, during periods of financial turmoil, the contributions of other larger banks increased markedly.Conclusion: The implication of these spikes is that systemic risk levels may also be highly dependent on external economic factors, in addition to internal banking characteristics. The results indicate that the economic fundamentals of SA itself seem to have little effect on the amount of systemic risk present in the financial sector. A more significant relationship seems to exist with the stability of the financial sectors in foreign countries. The implication therefore is that complying with individual banking regulations, such as Basel, and corporate governance regulations promoting ethical behaviour, such as King III, may not be adequate. It is therefore proposed that banks should always have sufficient capital reserves in order to mitigate the effects of a financial crisis in a foreign country. The use of worst-case scenario analyses (such as those in this study) could aid in determining exactly how much capital banks could need in order to be considered sufficiently capitalised during a financial crisis, and therefore safe from systemic risk.

Network-Based Modeling and Analysis of Systemic Risk in Banking Systems

MIS Quarterly ◽  
2012 ◽  
Vol 36 (4) ◽  
pp. 1269 ◽  
Author(s):  
Hu ◽  
Zhao ◽  
Hua ◽  
Wong
Keyword(s):  
Systemic Risk ◽  
Modeling And Analysis ◽  
Banking Systems

Systemic Risk, Stress Testing, and Financial Contagion

2014 ◽  
pp. 282-310
Author(s):  
Calixto Lopez-Castañon ◽  
Serafin Martinez-Jaramillo ◽  
Fabrizio Lopez-Gallo
Keyword(s):  
Systemic Risk ◽  
Research Agenda ◽  
Stress Testing ◽  
Risk Measures ◽  
Banking System ◽  
Financial Contagion ◽  
Interbank Market ◽  
Coherent Risk ◽  
Central Bankers ◽  
Standard Risk

Despite the acknowledgment of the relevance of Systemic Risk, there is a lack of consensus on its definition and, more importantly, on the way it should be measured. Fortunately, there is a growing research agenda and more financial regulators, central bankers, and academics have recently been focusing on this field. In this chapter, the authors obtain a distribution of losses for the banking system as a whole. They are convinced that such distribution of losses is the key element that could be used to develop relevant measures for systemic risk. Their model contemplates several aspects, which they consider important regarding the concept of systemic risk: an initial macroeconomic shock, which weakens some institutions (some of them to the point of failure), a contagion process by means of the interbank market, and the resulting losses to the financial system as a whole. Finally, once the distribution is estimated, the authors derive standard risk measures for the system as a whole, focusing on the tail of the distribution (where the catastrophic or systemic events are located). By using the proposed framework, it is also possible to perform stress testing in a coherent way, including second round effects like contagion through the interbank market. Additionally, it is possible to follow the evolution of certain coherent risk measures, like the CVaR, in order to evaluate if the system is becoming more or less risky, in fact, more or less fragile. Additionally, the authors decompose the distribution of losses of the whole banking system into the systemic and the contagion elements and determine if the system is more prone to experience contagious difficulties during a certain period of time.

scholarly journals Broken promises – A novel’s impact on shaping youth identity

2015 ◽  
Vol 6 (1) ◽  
Author(s):  
Berit Lundgren ◽  
Mathabo Khau
Keyword(s):  
Young People ◽  
South African ◽  
Emerging Economies ◽  
Language Theory ◽  
Functional Language ◽  
The Novel ◽  
Young Readers ◽  
Youth Identity ◽  
Gendered Stereotypes ◽  
Made In

In many emerging economies worldwide, and in South Africa in particular, sizeable investments have been made in education with the hope of increasing literacy rates and hence producing a workforce that will fit into the job market. Thus it is important to understand the context and literacy materials within South African classrooms and their impact. This article looks at the novel Broken promises by Roz Haden, which is read in many South African classrooms. From a post-structural feminist theory and functional language theory, we analyse how the portrayal of characters and storyline can have an impact on young readers’ identity construction in relation to the novel’s predominant discourses. The findings show that men are still portrayed as dominant in their own right within society whereas women are defined in relation to men. Unchallenged, this portrayal can continue to perpetuate gendered stereotypes, which would affect young people’s functionality in society. We therefore argue that while novels are good for improving literacy among young people, the messages they contain should be deconstructed and challenged so that young people can make informed decisions regarding their gender identities.

scholarly journals Heterogeneous market structure and systemic risk: Evidence from dual banking systems

2017 ◽  
Vol 33 ◽  
pp. 96-119 ◽  
Author(s):  
Pejman Abedifar ◽  
Paolo Giudici ◽  
Shatha Qamhieh Hashem
Keyword(s):  
Market Structure ◽  
Systemic Risk ◽  
Banking Systems
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