Exposure-at-default (EAD) is one of the most interesting and most difficult parameters to estimate in counterparty credit risk (CCR). Basel I offered only the non-internal Current Exposure Method (CEM) for estimating this quantity whilst Basel II further introduced the Standardised Method (SM)...

This paper examines the role of the derivatives market in South Africa and provides policy options for promoting the development of derivatives markets in sub-Saharan Africa. South Africa's derivatives market has grown rapidly in recent years, supporting capital inflows and helping market...

This paper provides a unique perspective to the question of why U.S. producers' hedging practices are not consistent with the price-risk management literature. We conduct a formal test of income support program impacts with unique producer survey data from South Africa and the United States,...

This report considers the South African market from two trade-led perspectives. In the first segment, we provide a critical and detailed breakdown of the equity and currency derivatives markets over the period 2007 to the end of 2012. We consider the evolution of index and single stock futures...