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

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dc.contributor.author Walters, Nadine
dc.contributor.author Beyers, Frederik Johannes Conradie
dc.contributor.author Van Zyl, A.J. (Gusti)
dc.contributor.author Van den Heever, R.J.
dc.date.accessioned 2019-07-04T13:10:58Z
dc.date.available 2019-07-04T13:10:58Z
dc.date.issued 2018
dc.description.abstract 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 bank in the system affects the solvency and liquidity position of other banks, through systemic market risks and consequential liquidity strains. We illustrate the framework with an application using South African bank balance sheet data. Spikes in simulated assessments of systemic risk agree closely with spikes in documented subjective assessments of this risk. This indicates that network models can be useful for monitoring systemic risk levels. The model results are sensitive to liquidity risk and market sentiment and therefore the related parameters are important considerations when using a network approach to systemic risk modelling. en_ZA
dc.description.department Mathematics and Applied Mathematics en_ZA
dc.description.librarian am2019 en_ZA
dc.description.sponsorship The National Research Foundation (NRF) and the Absa chair in Actuarial Science. en_ZA
dc.description.uri https://www.actuarialsociety.org.za/assa-news/sa-actuarial-journal-and-articles en_ZA
dc.identifier.citation Walters, N.M., Beyers, F.J.C., Van Zyl, A.J. et al. 2018, 'A framework for simulating systemic risk and its application to the South African banking sector', South African Actuarial Journal, vol. 18, pp. 99-133. en_ZA
dc.identifier.issn 1680-2179
dc.identifier.other 10.4314/saaj.v18i1.5
dc.identifier.uri http://hdl.handle.net/2263/70372
dc.language.iso en en_ZA
dc.publisher Actuarial Society of South Africa en_ZA
dc.rights © Actuarial Society of South Africa. This article is distributed under the Creative Commons Attribution 3.0 License. en_ZA
dc.subject Systemic risk en_ZA
dc.subject Banking networks en_ZA
dc.subject Network structure en_ZA
dc.subject Market sentiment en_ZA
dc.subject South Africa (SA) en_ZA
dc.title A framework for simulating systemic risk and its application to the South African banking sector en_ZA
dc.type Article en_ZA


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