Now showing items 1-7 of 7

    • Adapting the Macaulay duration for defaultable and option-embedded bonds 

      Styger, Paul; Van Vuuren, Gary (Faculty of Economic and Management Sciences, University of Pretoria., 2008)
      Most contemporary bonds have embedded options and all face the possibility of default. Both features introduce risk (the former market risk and the latter credit risk) by altering the quantity and timing of the promised ...
    • Applying lessons learnt from deficiencies in the Basel Accords to Solvency II 

      Jacobs, Johann; Van Vuuren, Gary (Sabinet, 2013)
      Solvency II is the new European Union (EU) legislation that will review the capital adequacy regime for the insurance industry. Considerable progress has been made in the banking sector with the implementation of the Basel ...
    • Calculating operational value-at-risk (OpVaR) in a retail bank 

      Styger, Paul; Van Vuuren, Gary; Esterhuysen, Janel (Faculty of Economic and Management Sciences, University of Pretoria, 2008)
    • Diligence in determining the appropriate form of stationarity 

      Heymans, André; Van Heerden, Chris; Van Greunen, Jan; Van Vuuren, Gary (AOSIS, 2014)
      Orientation: One of the most vexing problems of modelling time series data is determining the appropriate form of stationarity, as it can have a significant influence on the model’s explanatory properties, which makes ...
    • Further evidence of long memory in the South African Stock Market 

      Van Vuuren, Gary; Styger, Paul; Morris, Quinton (Wiley-Blackwell, 2009)
      This paper expands and augments the results of the paper by Jefferis and Thupayagale) and tests the efficiency of the South African stock market with Wavelet and Markov Switching Regime analyses of selected shares and the ...
    • Improved investment performance using the portfolio diversification index 

      Van Dyk, Francois; Van Vuuren, Gary; Styger, Paul (Sabinet, 2012)
      The residual variance method is the traditional method for measuring portfolio diversification relative to a market index. Problems arise, however, when the market index itself is not appropriately diversified. A diversification ...
    • A review of operational risk in banks and its role in the financial crisis 

      De Jongh, Erika; De Jongh, Dawie; De Jongh, Riaan; Van Vuuren, Gary (University of Pretoria, 2013)
      The role of operational risk in the 2007/2008 financial crisis is explored. The factors that gave rise to the crisis are examined and it is found that although the event is largely regarded as a credit crisis, operational risk ...