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Top-down stress testing of the largest full service South African banks
Dissertation (MSc (Actuarial Science))--University of Pretoria, 2020.
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| Other Authors: | |
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| Format: | Thesis |
| Language: | English |
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University of Pretoria
2021
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| _version_ | 1867613463208001536 |
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| access_status_str | Open Access |
| author2 | Beyers, Frederik Johannes Conradie |
| author_browse | Beyers, Frederik Johannes Conradie |
| author_facet | Beyers, Frederik Johannes Conradie |
| collection | Thesis |
| dc_rights_str_mv | © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc (Actuarial Science))--University of Pretoria, 2020. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/78609 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:36:32.683Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/78609 Top-down stress testing of the largest full service South African banks Beyers, Frederik Johannes Conradie dcuconradie@gmail.com Conradie, Dirk Cornelis Uys UCTD Actuarial Science Stress testing Financial stability Banking sector Economic modelling Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-10 Natural and agricultural sciences theses SDG-16 Dissertation (MSc (Actuarial Science))--University of Pretoria, 2020. Banks are key to a well-functioning economy. Periods of economic stress could put banks and therefore the financial system at risk so regulators such as the Prudential Authority in South Africa need to know if banks are resilient to economic stress. A model that forecasts the impact of severe economic stress is developed using publicly available information. The model forecasts the credit losses, deposit volumes and other general equity movements of the biggest five full-service South African banks to assess capital and liquidity strain for any defined macroeconomic stress scenario over the next 3 years. The full-service banks being considered account for more than 90% of all bank lending in deposits in the market and therefore covers the vast majority of banking systemic risk in South Africa. It is shown that different macroeconomic factors affect these banks in different ways due to differences in the type of customers with deposits with each institution and differences in credit risk associated with various loan products. From an overall market perspective economic growth, lending levels, household debt levels and equity markets are the key drivers of deposit volumes. Credit risk in turn is primarily driven by interest rates, inflation and household debt to disposable income. bs2025 Insurance and Actuarial Science MSc (Actuarial Science) Unrestricted SDG-08: Decent work and economic growth SDG-09: Industry, innovation and infrastructure SDG-10: Reduced inequalities SDG-16: Peace, justice and strong institutions 2021-02-15T09:16:15Z 2021-02-15T09:16:15Z 2021-04 2020 Dissertation * A2021 http://hdl.handle.net/2263/78609 en © 2019 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Actuarial Science Stress testing Financial stability Banking sector Economic modelling Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-10 Natural and agricultural sciences theses SDG-16 Top-down stress testing of the largest full service South African banks |
| title | Top-down stress testing of the largest full service South African banks |
| title_full | Top-down stress testing of the largest full service South African banks |
| title_fullStr | Top-down stress testing of the largest full service South African banks |
| title_full_unstemmed | Top-down stress testing of the largest full service South African banks |
| title_short | Top-down stress testing of the largest full service South African banks |
| title_sort | top down stress testing of the largest full service south african banks |
| topic | UCTD Actuarial Science Stress testing Financial stability Banking sector Economic modelling Natural and agricultural sciences theses SDG-08 Natural and agricultural sciences theses SDG-09 Natural and agricultural sciences theses SDG-10 Natural and agricultural sciences theses SDG-16 |
| url | http://hdl.handle.net/2263/78609 |