Credit and liquidity risk of banks in stress conditions : analyses from a macro perspective

This thesis brings together research on credit and liquidity risks of banks in stress conditions. It investigates banks’ reactions to those risks, presents macro stress-testing models and analyses policy measures to contain the risks during the 2007-2009 financial crisis. First we analyse how Dutch banks adjusted their credit and liquidity risk management during the crisis by empirical indicators and time series models. The results provide evidence on the time and cross-sectional dimensions of bank behaviour and on banks’ responses to funding liquidity shocks. Second, we model the impact on banks of tail events that involve credit and liquidity risk and banks’ reactions to those risks in a stress-testing framework. The framework is operationalised by a suite of models, such as reduced form satellite models, vector autoregressive (VAR) models and calibrated simulation tools. We show that shocks to the liquidity position of banks entail systemic risk through behavioural responses and that tail risks of stress scenarios are substantially lower if banks would adjust to Basel III. Third we analyse the policy responses to the credit and liquidity risks of banks in the crisis, by assessing the short-term crisis measures taken by central banks and governments in 2007-2009 and the macroeconomic effects of Basel III. Simulation outcomes of reduced form satellite models and a structural macroeconomic model indicate that the negative impact of Basel III on real GDP will be limited and be outweighed by the benefits in the new steady state.

Low-dimensional dynamical system model for observed coherent structures in ocean satellite data

The dynamics of coherent structures present in real-world environmental data is analyzed. The method developed in this Paper combines the power of the Proper Orthogonal Decomposition (POD) technique to identify these coherent structures in experimental data sets, and its optimality in providing Galerkin basis for projecting and reducing complex dynamical models. The POD basis used is the one obtained from the experimental data. We apply the procedure to analyze coherent structures in an oceanic setting, the ones arising from instabilities of the Algerian current, in the western Mediterranean Sea. Data are from satellite altimetry providing Sea Surface Height, and the model is a two-layer quasigeostrophic system. A four-dimensional dynamical system is obtained that correctly describe the observed coherent structures (moving eddies). Finally, a bifurcation analysis is performed on the reduced model.Comment: 23 pages, 7 figure

Namibians!

A pamphlet explaining why the End Conscription Campaign is fasting and praying for Namibia due to the South Africa Defence Army’s illegal occupation.https://digitalcommons.colum.edu/ecc/1010/thumbnail.jp

Conscripts Need Alternatives: Support Ivan Toms

A brochure in English and Afrikaans advocating for support of Ivan Toms, a founding member of the End Conscription Campaign who had formerly been drafted into national service with the South African Defence Force (SADF) as a non-combatant doctor. In 1983, Toms vowed to never serve the SADF again.https://digitalcommons.colum.edu/ecc/1006/thumbnail.jp

What has the Cost of the War to do with the Price of Eggs?

A flyer from the End Conscription Campaign advocating against military spending and a reallocation of those funds to agricultural efforts due to malnutrition and hunger for South African children.https://digitalcommons.colum.edu/ecc/1017/thumbnail.jp

Stop the Call Up

A booklet explaining the End Conscription Campaign’s work and its positions regarding migrant labor, racial classification, detention and security legislation, farming, purchasing power, forced removals, pass arrests, migrant workers, and the South African Defence Force’s involvement with South African townships.https://digitalcommons.colum.edu/ecc/1015/thumbnail.jp