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dc.contributor.author | Walters, Nadine Mari![]() |
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dc.contributor.author | Beyers, Frederik Johannes Conradie![]() |
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dc.contributor.author | Van Zyl, A.J. (Gusti)![]() |
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dc.contributor.author | Van den Heever, R.J.![]() |
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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 |