Evaluating illiquidity and systemic contagion in South African banks
Journal of Economic and Financial Sciences
| Field | Value | |
| Title | Evaluating illiquidity and systemic contagion in South African banks | |
| Creator | Visser, Dirk van Vuuren, Gary | |
| Description | 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. | |
| Publisher | AOSIS | |
| Date | 2014-10-31 | |
| Identifier | 10.4102/jef.v7i3.234 | |
| Source | Journal of Economic and Financial Sciences; Vol 7, No 3 (2014); 697-720 2312-2803 1995-7076 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://jefjournal.org.za/index.php/jef/article/view/234/307
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