- Title
- An analysis of systemic risk in the South African banking sector
- Creator
- Johnson, Clifford
- Subject
- Risk assessment -- South Africa
- Subject
- Finance -- South Africa Banks and banking -- South Africa Financial risk management -- South Africa
- Date Issued
- 2018
- Date
- 2018
- Type
- Thesis
- Type
- Masters
- Type
- MCom
- Identifier
- http://hdl.handle.net/10948/30551
- Identifier
- vital:30959
- Description
- The topic of systemic risk has gained prominence over the last three decades, however, renewed interest and discourse on the subject has increased significantly since the global financial crisis of 2007. This dissertation investigates the impact systemic risk has on the South African banking sector and the externalities borne amongst the largest constituent banks during periods of distress. By means of quantile regression, the delta conditional value at risk (ΔCoVaR) as introduced by Adrian and Brunnermeier (2008), banking institutions are ranked according to their systemic risk contributions at horizontal and vertical levels. Using weekly observations from 25 January 2008 until 28 July 2017, the empirical results reveal that a loose link exists between an individual bank’s risk and its systemic contribution. Furthermore, during periods of distress, larger banks contribute the most to systemic risk of the system. However, horizontally – amongst banks – size does not automatically imply systemic importance. The implications of the results, given the study, highlight that regulation of banks at an individual level does not imply that an institution is operating systemically prudent. Furthermore, regulation of banks is welcomed in order to address systemic risk of an institution; however, regulators should be mindful of the vertical and horizontal aspects of systemic externalities.
- Format
- xii, 127 leaves
- Format
- Publisher
- Nelson Mandela University
- Publisher
- Faculty of Business and Economics Sciences
- Language
- English
- Rights
- Nelson Mandela University
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NMU School for Economics, Development and Tourism
| Thumbnail | File | Description | Size | Format | |||
|---|---|---|---|---|---|---|---|
| View Details Download | SOURCE1 | CLIFFORD JOHNSON.pdf | 1 MB | Adobe Acrobat PDF | View Details Download |