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Browsing by UP Author "Walters, Nadine Mari"
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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 ...
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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 ...
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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 ...