Now showing items 1-12 of 12

    • 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 ...
    • Banking competition and misconduct: how dire economic conditions affect banking behavior 

      Swanepoel, Ezelda; Esterhuysen, Ja'nel; Van Vuuren, Gary; Lotriet, Ronnie (Business Perspectives, 2016)
      Increasingly, in the last decade, largely due to perceived greater shareholder pressures for more profitable performance, compensation maximization has taken center stage in some segments of the banking industry. Banks ...
    • 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 ...
    • Forecasting the South African business cycle using Fourier Analysis 

      Thomson, Daniel; Van Vuuren, Gary (Clute Institute, 2016)
      A Fourier transform analysis is proposed to determine the duration of the South African business cycle, measured using log changes in nominal gross domestic product (GDP). The most prominent cycle (two smaller, but ...
    • 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 ...
    • Pricing contingent convertible bonds in African banks 

      Liebenberg, Francois; Van Vuuren, Gary; Heymans, Andre (AOSIS, 2016)
      In times of financial distress, banks struggle to source additional capital from reluctant private investors. Sovereign bailouts prevent disruptive insolvencies, but distort bank incentives. Contingent convertible capital ...
    • 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 ...
    • The effect of yield curve shape and level on bond immunisation effectiveness 

      Prettejohn, Brendan; Van Vuuren, Gary (Taylor & Francis, 2016)
      The effect of different-shaped yield curves on the effectiveness of bond immunisation was investigated. Bonds were priced using historical yield curves of various shapes and simulated interest rate shocks applied. The ...
    • Trading book risk metrics: a South African perspective 

      Visser, Dirk; Van Vuuren, Gary (AOSIS, 2016)
      The regulatory market risk metric - Value at Risk - has remained virtually unchanged since its introduction by JP Morgan in 1996. Many prominent examples of market risk underestimation have undermined the credibility of ...