| G10-3 (2088) FINANCIAL MARKETS AND CREDIT RISK | |||
| The session focuses on two topics in financial economics, namely asset pricing and portfolio choice. In the session price behaviour of stocks on the Johannesburg Stock Exchange, as well as position sizing on the JSE are analysed. The influence of the new government bank guarantees on counterparty credit risk and the assessment of risk (and thus pricing) of co-operative banks' credit, also forms part of the session. | |||
| Organizer: Andrea Saayman, North-West University, Potchefstroom Campus — South Africa | |||
| Chair: Helena van Zyl, University of the Free State — South Africa | |||
Gary W. van Vuuren, Fitch Ratings — United Kingdom,
Government Bank Guarantees Effect on Basel II's Counterparty Credit Risk |
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Quinton Morris and Paul Styger, North-West University — South Africa,
Describing JSE Price Behaviour with Wavelet and Markov Switching Regime Analyses |
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Jean-Jacques D. De Wit, University of the Free State — South Africa,
Quantitative Position Sizing Methods for Risk-Adjusted Inter Day Index Trading |
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Pieter G. Vosloo, Gyro CCS Pty Ltd — South Africa and J. Wihan van Huyssteen, North-West University — South Africa,
A Proposed Credit Rating Methodology for Co-operative Banks in South Africa |
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Alexandros Gabrielsen, CASS Business School — United Kingdom and Andreas Ektor Lake, Aristotle University of Thessaloniki — Greece,
Regime Dependent Determinants of Credit Spread Indices |
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