"Between civil society and the state: a case study of the Bellville South Civic, 1980-1993"

Paper presented at the Wits History Workshop: Democracy, Popular Precedents, Practice and Culture, 13-15 July, 199

On partial defaults in portfolio credit risk: Comparing economic and regulatory view

Most credit portfolio models calculate the loss distribution of a portfolio consisting solely of performing counterparts. We develop two models that account for defaulted counterparts in the calculation of the economic capital. First, we model the portfolio of non-performing counterparts standalone. The second approach derives the integrated loss distribution for the non-performing and the performing portfolio. Both calculations are supplemented by formulae for contributions of the single counterpart to the economic capital. Calibrating the models allows for an impact study and a comparison with Basel II. --

On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach

Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts in the calculation of the economic capital. Two of the approaches are based on the Poisson mixture model CreditRisk+ and derive a loss distribution for an integrated portfolio. The third method treats the portfolio of non-performing exposure separately. All three calculations are supplemented by formulae for contributions of the counterpart to the economic capital. --Portfolio credit risk,CreditRisk+,Recovery

New recipes for estimating default intensities

This paper presents a new approach to deriving default intensities from CDS or bond spreads that yields smooth intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon payments, the default intensity can be obtained by solving an integral equation (Volterra equation of 2nd kind). This integral equation is shown to be equivalent to an ordinary linear differential equation of 2nd order with time dependent coefficients, which is numerically much easier to handle. For the special case of Nelson Siegel CDS term structure models, the problem permits a fully analytical solution. A very good and at the same time simple approximation to this analytical solution is derived, which serves as a recipe for easy implementation. Finally, it is shown how the new approach can be employed to estimate stochastic term structure models like the CIR model.CDS spreads, bond spreads, default intensity, credit derivatives pricing, spread risk modelling, credit risk modelling, loan book valuation, CIR model

Developing research excellence in transnational research collaborations : a reflection paper for the IDRC / COADY 2013 Canadian Learning Forum

This short reflection paper summarises lessons learnt about research excellence from the Citizenship-DRC network (“Development Research Centre on Citizenship, Participation and Accountability” or, Citizenship-DRC) and the emerging Collaboration for Research on Democracy (CORD) network. Both examples show how global research networks in development can challenge older, received models of North-South research partnerships. In the Citizenship-DRC network, over 150 locally-grounded cases were produced and synthesised in six volumes. In this report, some indicators are proposed that reflect excellence in the networked approach to research

New recipes for estimating default intensities

This paper presents a new approach to deriving default intensities from CDS or bond spreads that yields smooth intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon payments, the default intensity can be obtained by solving an integral equation (Volterra equation of 2nd kind). This integral equation is shown to be equivalent to an ordinary linear differential equation of 2nd order with time dependent coefficients, which is numerically much easier to handle. For the special case of Nelson Siegel CDS term structure models, the problem permits a fully analytical solution. A very good and at the same time simple approximation to this analytical solution is derived, which serves as a recipe for easy implementation. Finally, it is shown how the new approach can be employed to estimate stochastic term structure models like the CIR model

Introduction: The Crucial Role of Mediators in Relations between States and Citizens

This book sets out to answer a deceptively simple question: how do citizens and state engage in the global south? The answer is not simple; it is indeed complex and multifaceted, but we argue that much of the time this engagement involves a practice of intermediation. From local to international level, citizens are almost always represented to the state through third parties that are distinguished by the intermediary role that they play. These intermediaries include political parties, non-governmental organisations (NGOs), community-based organisations, social movements, armed non-state actors, networks and individuals. For its part, the state often engages citizens through intermediaries from private service providers to civil society activists and even local militia