Browsing by UP Author "Walters, Nadine Mari"

Please be advised that the site will be down for maintenance on Sunday, September 1, 2024, from 08:00 to 18:00, and again on Monday, September 2, 2024, from 08:00 to 09:00. We apologize for any inconvenience this may cause.

Browsing by UP Author "Walters, Nadine Mari"

Sort by: Order: Results:

  • The contribution of insurers to systemic risk : a practical framework for regulators 
    Rusconi, Rob; Beyers, Frederik Johannes Conradie; Walters, Nadine (Actuarial Society of South Africa, 2023-12)
    While insurers are not typically the most significant contributors to systemic risk, their actions and behaviour may materially contribute to such risk. This study considers the models that may be used to detect systemic ...
  • Financial contagion in large, inhomogeneous stochastic interbank networks 
    Walters, Nadine Mari; Van Zyl, A.J. (Gusti); Beyers, Frederik Johannes Conradie (World Scientific Publishing, 2019-03)
    We consider the fraction of nodes that default in large, stochastic, inhomogeneous financial networks following an initial shock to the system. Results for deterministic sequences of networks are generalized to stochastic ...
  • A framework for simulating systemic risk and its application to the South African banking sector 
    Walters, Nadine Mari; Beyers, Frederik Johannes Conradie; Van Zyl, A.J. (Gusti); Van den Heever, R.J. (Actuarial Society of South Africa, 2018)
    We present a network-based framework for simulating systemic risk that considers shock propagation in banking systems. In particular, the framework allows the modeller to reflect a top-down framework where a shock to one ...