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Value at risk, minimum capital requirement and the use of extreme value distributions : an application to BRICS markets

Muteba Mwamba, John; Beytell, Donovan - In: International business and economics research journal 14 (2015) 1, pp. 135-143

Persistent link: https://www.econbiz.de/10010529372

Do Basel III higher common equity capital requirements matter for bank risk-taking behaviour? : lessons from South Africa

Adesina, Kolade Sunday; Muteba Mwamba, John - In: African development review 28 (2016) 3, pp. 319-331

Persistent link: https://www.econbiz.de/10011723383

Modelling aggregate risk of the South African banking industry : an application to Pillar II economic capital

Khoza, Dingaan Jack; Muteba Mwamba, John - In: African finance journal 20 (2018) 1, pp. 39-65

Persistent link: https://www.econbiz.de/10011959054

Modelling systemic risk in the South African banking sector using CoVaR

Manguzvane, Mathias Mandla; Muteba Mwamba, John - In: International review of applied economics 33 (2019) 5, pp. 624-641

Persistent link: https://www.econbiz.de/10012182351

Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...

Persistent link: https://www.econbiz.de/10014532413