Modelling Systemic Risk in the South African Banking Sector Using CoVar
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- Mathias Manguzvane & John Weirstrass Muteba Mwamba, 2019. "Modelling systemic risk in the South African banking sector using CoVaR," International Review of Applied Economics, Taylor & Francis Journals, vol. 33(5), pages 624-641, September.
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Cited by:
- Somnath Chatterjee & Marea Sing, 2021. "Measuring Systemic Risk in South African Banks," Working Papers 11004, South African Reserve Bank.
- Mathias Mandla Manguzvane & John Weirstrass Muteba Mwamba, 2020. "GAS Copula models on who’s systemically important in South Africa: Banks or Insurers?," Empirical Economics, Springer, vol. 59(4), pages 1573-1604, October.
- Jalan, Akanksha & Matkovskyy, Roman, 2023.
"Systemic risks in the cryptocurrency market: Evidence from the FTX collapse,"
Finance Research Letters, Elsevier, vol. 53(C).
- Akanksha Jalan & Roman Matkovskyy, 2023. "Systemic risks in the cryptocurrency market: Evidence from the FTX collapse," Post-Print hal-04047924, HAL.
- Pierre Nkou Mananga & Shiqiang Lin & Hairui Zhang, 2023. "A network approach to interbank contagion risk in South Africa," Working Papers 11052, South African Reserve Bank.
- Serena Merrino & Ilias Chondrogiannis, 2024. "Did Basel III reduce bank spillovers in South Africa," Working Papers 11060, South African Reserve Bank.
- Ouyang, Zi-sheng & Liu, Meng-tian & Huang, Su-su & Yao, Ting, 2022. "Does the source of oil price shocks matter for the systemic risk?," Energy Economics, Elsevier, vol. 109(C).
- Ghufran Ahmad & Muhammad Suhail Rizwan & Dawood Ashraf, 2021. "Systemic risk and macroeconomic forecasting: A globally applicable copula‐based approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1420-1443, December.
- Zulu, Thulani & Manguzvane, Mathias Mandla & Bonga-Bonga, Lumengo, 2023. "Assessing the contribution of South African Insurance Firms to Systemic Risk," MPRA Paper 116815, University Library of Munich, Germany.
- Kanga, Désiré & Soumaré, Issouf & Amenounvé, Edoh, 2023. "Can corporate financing through the stock market create systemic risk? Evidence from the BRVM securities market," Emerging Markets Review, Elsevier, vol. 55(C).
- Eita, Joel Hinaunye & Ngobese, Sibusiso Blessing & Muteba Mwamba, John Weirstrass, 2020. "An empirical analysis of systemic and macroeconomic risk in South Africa: an application of the quantile regression," MPRA Paper 101493, University Library of Munich, Germany.
- Fenghua Wen & Kaiyan Weng & Wei-Xing Zhou, 2020. "Measuring the contribution of Chinese financial institutions to systemic risk: an extended asymmetric CoVaR approach," Risk Management, Palgrave Macmillan, vol. 22(4), pages 310-337, December.
- Huichen Jiang & Jun Zhang, 2020. "Discovering Systemic Risks of China's Listed Banks by CoVaR Approach in the Digital Economy Era," Mathematics, MDPI, vol. 8(2), pages 1-28, February.
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Keywords
Banking Regulation; South Africa;JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AFR-2017-10-15 (Africa)
- NEP-BAN-2017-10-15 (Banking)
- NEP-CBA-2017-10-15 (Central Banking)
- NEP-RMG-2017-10-15 (Risk Management)
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