Browsing Natural and Agricultural Sciences by UP Author "Walters, Nadine"

Browsing Natural and Agricultural Sciences by UP Author "Walters, Nadine"

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  • Financial contagion in large, inhomogeneous stochastic interbank networks 
    Walters, Nadine; 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; 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 ...