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Adapting the Macaulay duration for defaultable and option-embedded bonds
(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 ...
Calculating operational value-at-risk (OpVaR) in a retail bank
(Faculty of Economic and Management Sciences, University of Pretoria, 2008)
The management of operational value-at-risk (OpVaR) in financial institutions is presented y means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational risk. ...
Seasonality as an unobservable component in South African agricultural market data
(2008)
The shortcoming of most of the tests for seasonal patterns is that the problem under investigation is formulated in a stringent manner, leading to a test of the null hypothesis of no seasonality against the alternative of ...
Structural default models applied to South African banks
(Bureau for Economic Research and the Graduate School of Business, University of Stellenbosch, 2008)
We modify the structural default model of Merton to make it more readily applicable to banking firms in South Africa. In essence the modification assumes that both assets and liabilities follow geometric Brownian motion ...