The incidence of rare but extreme events appears to be significant in worldwide financial markets. In this chapter we apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing...

This paper seeks to explore the Kenyan interbank market characteristics at a time of liquidity stress and how it relates to the intervention by the Central Bank of Kenya (CBK) through the open market operation. We seek to ascertain whether the CBK's action during the interbank market distress -...

This paper seeks to explore the Kenyan interbank market characteristics at a time of liquidity stress and how it relates to the intervention by the Central Bank of Kenya (CBK) through the open market operation. We seek to ascertain whether the CBK's action during the interbank market distress -...