ARTICLE
TITLE

Evaluating illiquidity and systemic contagion in South African banks

SUMMARY

AbstractA stress-testing model to evaluate liquidity and systemic risk in banks of developed and emerging economies has been assembled and tested. The Liquidity Stress Tester model (LST) was applied to Dutch and UK markets during crisis and non-crisis periods in previous research – here it is applied to South African banks. The flexibility and adaptability of the LST allows different banking systems and reactions of system participants to be evaluated comprehensively. Feedback effects arising from bank reactions to severely stressed haircuts and increases in systemic risk caused by reputation degradation are considered, as is the effect of enhanced contagion from other banks. 

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