Logo Lanfrica
  • Accueil
  • Atlas
  • Analyses
  • Documentation
  • Sign in

© 2026 Lanfrica. Tous droits réservés. Tous les droits d'auteur des ressources affichées sur le site Web Lanfrica appartiennent aux détenteurs de droits d'auteur d'origine, sauf indication contraire explicite.

A framework for simulating systemic risk and its application to the South African banking sector

Domaine:

socioeconomic

Type de record:

paper
Créateur:
WalBeyvanHee
Éditeur:
arXiv
Hôte:avatar
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.

Visit

doi.orgarxiv.org

Tags

Risk Management (q-fin.RM)FOS: Economics and businessFOS: Economics and business

Licenses

Creative Commons Attribution 4.0 Internationalhttps://creativecommons.org/licenses/by/4.0/legalcode

Similaires

The Assessment of Systemic Risk in the Kenyan Banking SectorAssessing the systemic risk in Rwandan banking sector using clustering approachA Component Expected Shortfall Approach to Systemic Risk: An Application in the South African Financial IndustryA framework for assessing multi-hazard risk dynamics: Application to South African maize productionThe contribution of insurers to systemic risk: A practical framework for regulatorsSystemic risk and real economic activity: A South African insurance stress index of systemic risk

The Assessment of Systemic Risk in the Kenyan Banking Sector

The present paper aims to assess the systemic risk of the Kenyan banking system. We propose a theore

Assessing the systemic risk in Rwandan banking sector using clustering approach

A Component Expected Shortfall Approach to Systemic Risk: An Application in the South African Financial Industry

The accelerated growth and interconnectedness of financial institutions and movement towards product

A framework for assessing multi-hazard risk dynamics: Application to South African maize production

Source Agritrop Cirad (https://agritrop.cirad.fr/618805/) International audience Clim

The contribution of insurers to systemic risk: A practical framework for regulators

While insurers are not typically the most significant contributors to systemic risk, their actions a

Systemic risk and real economic activity: A South African insurance stress index of systemic risk

This study investigates the link between systemic risk in the South African insurance sector real ec