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.

scholarly journals A framework for simulating systemic risk and its application to the South African banking sector

2018 ◽  
Vol 18 (1) ◽  
pp. 99
Author(s):  
N.M. Walters ◽  
F.J.C. Beyers ◽  
A.J. Van Zyl ◽  
R.J. Van den Heever
Keyword(s):  
South African ◽  
Systemic Risk ◽  
Banking Sector ◽  
The South

scholarly journals Bank stability in South Africa: what matters?

2019 ◽  
Vol 14 (1) ◽  
pp. 122-136
Author(s):  
Syden Mishi ◽  
Sibanisezwe Alwyn Khumalo
Keyword(s):  
South African ◽  
Business Models ◽  
Banking Sector ◽  
Financial Sector ◽  
The South ◽  
Bank Stability ◽  
Panel Data Estimation ◽  
Panel Data Estimation Techniques ◽  
Lending Activity ◽  
Data Estimation

The study examined the determinants of bank stability within the South African banking sector. By controlling for individual bank characteristics and market characteristics, the study determined possible determinants of solvency, a proxy for bank stability, measured by z-score within the South African financial sector. The South African financial sector is highly concentrated but with a significantly large number of banks, the greater portion being foreign owned banks. The business models of some of the financial intermediaries differ from the big four and therefore the influence of the type of business model is of great interest in this study, as it highlights a unique feature of the South African financial sector. The study’s investigation used panel data estimation techniques and found that among the specific bank characteristics, lending activity and capitalization do significantly affect solvency of banks and at sector level concentration was significant. The crisis dummy also revealed that the presence of a financial crisis heightened insolvency. The results have implications for financial institutions and therefore are of interest to regulators, bank management and researchers. Policy prescription in the form of Prompt Corrective Action framework is made to ensure proactive reaction to trends likely to cause instability.

Modelling systemic risk in the South African banking sector using CoVaR

2019 ◽  
Vol 33 (5) ◽  
pp. 624-641 ◽  
Author(s):  
Mathias Manguzvane ◽  
John Weirstrass Muteba Mwamba
Keyword(s):  
South African ◽  
Systemic Risk ◽  
Banking Sector ◽  
The South

Measuring the systemic risk transfer from the United States to the South African financial sector

2019 ◽  
Vol 51 (27) ◽  
pp. 2934-2944
Author(s):  
Gregory M. Foggitt ◽  
André Heymans ◽  
Gary Van Vuuren
Keyword(s):  
United States ◽  
South African ◽  
Systemic Risk ◽  
Financial Sector ◽  
The United States ◽  
The South ◽  
Risk Transfer

What Has Not Changed

2019 ◽  
pp. 209-239
Author(s):  
Huw Macartney
Keyword(s):  
Financial Crisis ◽  
Business Models ◽  
Banking Sector ◽  
Value Added ◽  
Financial Sector ◽  
Quantitative Easing ◽  
The Real ◽  
Anglo American ◽  
The Impact

This chapter begins by explaining that financialization since the financial crisis has continued. The chapter then shows how the real culture of banking has not changed as a result. It examines the business models of the largest Anglo-American banks and the impact of Quantitative Easing to show the disconnect between the banks and their respective economies. It then examines rising household indebtedness, and the lending practices of the banks that exploit the heavily indebted. Finally it explores pay in the financial sector, showing that fixed and variable remuneration remain out of proportion to the value-added of the banking sector, and disproportionately high compared to pay in most other sectors. The conclusion we should draw is that bank culture has actually changed very little.

scholarly journals Selection criteria in the South African retail banking sector

2012 ◽  
Vol 6 (41) ◽  
pp. 10558-10567 ◽  
Author(s):  
Coetzee Johan ◽  
van Zyl Helena ◽  
Tait Madeacute le
Keyword(s):  
South African ◽  
Selection Criteria ◽  
Banking Sector ◽  
Retail Banking ◽  
The South

Early Stall Warning Technique for Axial-Flow Compressors

2006 ◽  
Vol 129 (3) ◽  
pp. 448-456 ◽  
Author(s):  
Nobuyuki Tahara ◽  
Masahiro Kurosaki ◽  
Yutaka Ohta ◽  
Eisuke Outa ◽  
Takurou Nakajima ◽  
...  
Keyword(s):  
Risk Index ◽  
Axial Flow ◽  
Leading Edge ◽  
Warning Signal ◽  
Tip Clearance ◽  
Flow Coefficient ◽  
Case Scenario ◽  
Worst Case ◽  
Stall Margin ◽  
Stall Warning

This paper proposes a unique stall risk index based on pressure signals by high-response transducers on the casing wall at the rotor leading-edge location. The aim of the research is to explore the possibility of reducing current excessive stall margin requirement for compressor design based on the worst-case scenario. The index is generated by computing correlation degradation of pressure time histories of current and one revolution before over each blade pitch. Tests conducted on a single-stage low-speed compressor exhibits that the correlation diminishes significantly with proximity to stall, and the proposed technique might have the capability of generating a stall warning signal sufficiently in advance of spike inception. Extensive experiments on a research compressor show that the degree of the index degradation depends on various factors, such as flow coefficient, tip clearance, and rotor blade incidence. In order to obtain a reliable stall warning signal in practical use, these effects must be carefully examined.

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