JACOBS, Johann; STYGER, Paul
and
VAN VUUREN, Gary. The regulatory treatment of liquidity risk in South Africa. S. Afr. j. econ. manag. sci. (Online) [online].
2012,
vol.15, n.3, pp. 294-308.
ISSN 2222-3436.
|
|
BANK FOR INTERNATIONAL SETTLEMENTS, Basel committee on banking supervision (BCBS). 1992. A framework for measuring and managing liquidity. September. Basel, Switzerland. Available at: http://www.bis.org/publ/bcbs10b.pdf [accessed 2007-03-06]. [ Links ] BANK FOR INTERNATIONAL SETTLEMENTS, Basel Committee on Banking Supervision (BCBS). 1999. A new capital adequacy framework. Consultative Paper Issued by the Basel Committee on Banking Supervision. June. Basel, Switzerland. [ Links ] BANK FOR INTERNATIONAL SETTLEMENTS, Basel committee on banking supervision (BCBS). 2000. Sound practices for managing liquidity in banking organisations. February. Basel, Switzerland. [ Links ] BANK FOR INTERNATIONAL SETTLEMENTS, Basel committee on banking supervision (BCBS). 2006a. Core principles methodology. October. Basel, Switzerland. [ Links ] BANK FOR INTERNATIONAL SETTLEMENTS, Basel committee on banking supervision (BCBS). 2006b. International convergence of capital measurement and capital standards: a revisedframework. July. Basel, Switzerland. [ Links ] BANK FOR INTERNATIONAL SETTLEMENTS, Basel committee on banking supervision (BCBS). 2006c. The joint forum: the management of liquidity risk in financial groups. May. Basel, Switzerland. Available at: http://www.bis.org/publ/joint16.pdf [accessed 2007-02-12]. [ Links ] BANK FOR INTERNATIONAL SETTLEMENTS, Basel committee on banking supervision (BCBS). 2007a. Financial market developments and the work of the Basel committee, Press Release issued on the BIS Website. 9 October. Basel, Switzerland. Available at: http://www.bis.org/press/p071009.htm [accessed 2007-10-22]. [ Links ] BANK FOR INTERNATIONAL SETTLEMENTS, Basel committee on banking supervision (BCBS). 2007b. History of the Basel committee and its membership. January. Basel, Switzerland. Available at: http://www.bis.org/bcbs/history.pdf [accessed 2007-05-16]. [ Links ] BELOUSOV, S., & BOBYSHEV, A. 2005. Handling liquidity risk in market risk modelling: practical experience, PRMIA Risk Management Conference. 20 September. Moscow, Russia. Available at: http://www.gloriamundi.org/picsresources/absb.pdf [accessed 2007-02-13]. [ Links ] BERGER, A.N. & BOUWMAN, C.H.S. 2006. The measurement of bank liquidity creation and the effect of capital. September. Washington DC, United States of America. Available at: http://fic.wharton.upenn.edu/fic/papers/07/0702.pdf [accessed 2007-02-13]. [ Links ] COGNOS. 2003. BaselII. June. United States of America. Available at: http://www.cognos.com/solutions/thankyou/basel2.pdf [accessed 2007-07-30]. [ Links ] FILENET. 2007. Basel II: from compliance to competitive advantage. Whitepaper for Banking and Financial Markets. January. Costa Mesa, United States of America. Available at: http://www.filenet.com/English/Industry_Solutions/Financial_Services/BaselCompliance.pdf [accessed 2007-05-21]. [ Links ] FINANCIAL SUPERVISION COMMISSION. 2005. A consultative paper on liquidity risk management policies for banks. Isle of Man Government. 31 January. Available at: http://www.gov.im/lib/docs/fsc/Consultative/Banking/s4liquidity.pdf [accessed 2007-02-15]. [ Links ] FINANSINSPEKTIONEN. 2005. Institutions' internal capital adequacy assessment process: assessment of capital adequacy under Basel II. Journal No. 05-5939-350. 26 September. Stockholm, Sweden. Available at: http://www.fi.se/upload/90_English/20_Publications/10_Reports/Report2005_8.pdf [accessed 2007-05-21]. [ Links ] HOGGARTH, G., REIDHILL, J. & SINCLAIR, P. 2003. Resolution of banking crises: an overview. Financial Stability Review 2003. Bank of England. December. London, England. Available at: http://www.bankofengland.co.uk-publications-fsr-2003-fsr15art6 [accessed 2007-02-25]. [ Links ] HONG KONG MONETARY AUTHORITY. 2004. Supervisory policy manual: liquidity risk management, version 1. 20 August. Hong Kong. Available at: http://www.info.gov.hk/hkma/eng/bank/spma/attach/LM-1.pdf [accessed 2007-02-16]. [ Links ] INSTITUTE OF INTERNATIONAL FINANCE. 2007. Principles of liquidity risk management. March. Washington DC, United States of America. [ Links ] KRONSEDER, C. 2003a. Liquidity risk management: an introduction. 13 May. Credit Suisse First Boston. Boston, United Sates of America. Available at: http://www.gtnews.com/article/4988.cfm [accessed 2007-02-21]. [ Links ] KRONSEDER, C. 2003b. Managing liquidity risk. 20 August. Credit Suisse First Boston. Boston, United Sates of America. Available at: http://www.gtnews.com/article/5125.cfm [accessed 2007-02-21]. [ Links ] MENDOZA, J.C. & STEPHANOU, C. 2005. Credit risk measurement under BaselII: an overview and implementation issues for developing countries. World Bank Policy Research Working Paper No. 3556. April. World Bank. Washington DC, United States of America. Available at: http://www.ifc.org/ifcext/rbcgp.nsf/AttachmentsByTitle/CreditRiskBasel2.pdf/$FILE/CreditRiskBasel2.pdf [accessed 2007-07-26]. [ Links ] OESTERREICHISCHE NATIONALBANK. 2007. BaselII history. July. Vienna, Austria. Available at: http://www.oenb.at/en/finanzm_stab/basel_II/basisinfo/entstehungsgeschichte/basel_ii_history.jsp [accessed 2007-07-31]. [ Links ] OLSON RESEARCH. 2000. A/L Benchmarks industry report: standard for asset/liability management. 4th Quarter. Columbia, United States of America. Available at: http://www.olsonresearch.com/IndustryRpt/ PDF/2000Q4-IndustryReport.pdf [accessed 2007-10-22]. OR see OLSON RESEARCH. [ Links ] RESERVE BANK OF AUSTRALIA. 1998. Liquidity risk management: prudential statement 1. April. Sydney, Australia. Available at: http://www.rba.gov.au/MediaReleases/1998/prudential_statement_d1 [accessed 2007-2-12]. [ Links ] SHADOW FINANCIAL REGULATORY COMMITTEES. 1999. Improving the Basle committee's new capital adequacy framework. Joint statement by the shadow financial regulatory Committees of Europe, Japan and the US. 14 June. New York, United States of America. Available at: http://www.econ.keio.ac.jp/staff/masaya//shadow/article/jointstate_1.doc [accessed 2007-07-14]. [ Links ] SHARMA, P. 2004. Speech on liquidity risk. 8 October. Financial Services Authority. London. England. Available at: http://www.fsa.gov.uk/Pages/Library/Communication/Speeches/2004/SP201.shtml [accessed 2007-01-27]. [ Links ] SOUTH AFRICA. 2000. Regulations relating to banks. (Proclamation No. R 1112, 2000) Government Gazette, 6917, 8 November. (Regulation Gazette No. 21726). [ Links ] SOUTH AFRICAN RESERVE BANK. 2007a. Electronic DI Returns and other information available to the public: DI 100, DI 300, DI 310, DI 400, DI 900. June. Available at: http://www.resbank.co.za/sarbdata/ifdata/default.asp [accessed 2007-06-10]. [ Links ] SOUTH AFRICAN RESERVE BANK. 2007b. List of eligible collateral. 23 May. Financial Markets Department. Pretoria, South Africa. Available at: http://www.reservebank.co.za/internet/Publication.nsf/LADV/631936992C6C037F422572DB00494266/$File/Eligible+Collateral+23+May+2007.pdf[accessed 2007-09-11]. [ Links ] STYGER, P. & VOSLOO, P.G. 2005. The banker's guide to the Basel II Framework. December. Johannesburg, South Africa. Available at: http://www.banking.org.za/documents/2005/DECEMBER/InfoDoc_29781.pdf [accessed 2007-03-19]. [ Links ] VAN ROY, P. 2005. Credit-ratings and the standardised approach to credit risk in Basel II. European Central Bank Working Paper Series No. 517. August. European Central Bank. Frankfurt, Germany. Available at: http://www.ecb.int/pub/pdf/scpwps/ecbwp517.pdf [accessed 2007-07-27]. [ Links ] WEINBERG, M. 2007. IIF report — principles of liquidity risk management: considerations for regulators. Presentation given at APRA Liquidity Risk Management Conference. 3-4 May. Available at: http://www.apra.gov.au/Policy/upload/2c-Mark-Weinberg-IIF-Report-Principles-of-liquidity-risk-management-Considerations-for-regulators.pdf [accessed 2007-06-7]. [ Links ] WEST, G. 2004. Risk measurement for financial institutions. Financial Modelling Agency, CAM Department, University of the Witwatersrand. 25 November. Johannesburg, South Africa. Available at: http://www.cam.wits.ac.za/mfinance/MPT2004/rm.pdf [accessed 2007-02-20]. [ Links ] WOLF, M. 2007. From a bank run to nationalising deposits, Article in Financial Times. 18 September. Available at: http://www.ft.com/cms/s/02658970-65ec-11dc-9fbb-0000779fd2ac,s01=1.html [accessed 2007-09-19]. [ Links ] |