The 2007–2008 US subprime mortgage crisis evolved into a financial crisis that negatively affected many economies in the world and was afterwards widely referred to as the global financial crisis. Since the beginning of this financial crisis of 2008–2009, South Africa experienced a...

In this article, we obtain numerical results involving new Basel III liquidity regulation. More specifically, we compute the net stable funding ratio in accordance with the prescripts of the proposed banking rules. In this regard, we investigate the effects of shareholder cash flow rights on the...

We address the impact of speculative mortgage funding on the pricing of subprime residential mortgage loans (measured by risk premia) and securities backed by these mortgages (measured by ABX.HE indices). In this regard, we make use of techniques involving multivariate Vector Autoregressive...

Basel III introduces a leverage ratio that is expressed as the quotient of Tier 1 capital and a class of total unweighted assets. In this article, we use BankScope data to study Class I banks that have Tier 1 capital and total unweighted assets in excess of US $4 and 100 billion, respectively,...

Purpose: The purpose of this paper is to examine the level of foreign exchange exposure of listed nonfinancial firms in South Africa. The study spans the period January 2002 and November 2015. Foreign exchange risk exposure is estimated in relation to the exchange rate of the South African Rand...

In this article, we use actuarial methods to solve a nonlinear stochastic optimal liquidity risk management problem for subprime originators with deposit inflow rates and marketable securities allocation as controls. The main objective is to minimize liquidity risk in the form of funding and...