Now showing items 1-5 of 5

    • Credit price optimisation using survival analysis 

      Smuts, M. (North-West University (South Africa), 2020)
      The competitive nature of the financial industry requires the effective use of prescriptive models to assist with strategic decision-making. One of the challenges in managing consumer credit portfolios is determining the ...
    • Economic capital for credit risk in the trading book 

      Smit, Wynand; Styger, Paul; Van Vuuren, Gary Wayne (2011)
      The Basel II accord sets out detailed formulations (in its Internal Ratings Based approaches) for determining credit risk capital in the banking book, but until recently, credit risk in the trading-book was largely ignored. ...
    • Evaluating the credit assessment criteria used by financiers to assess credit applications in Mozambique 

      Middelberg, Sanlie L.; Buys, Pieter W.; Oberholzer, Merwe (LLC “СPС “Business Perspectives”, 2014)
      Africa is the ideal location for agricultural investment to address the growing concern of food insecurity worldwide. South African agricultural producers and agricultural financiers are strategically positioned to expand ...
    • Stochastic control of credit default insurance for subprime residential mortgage-backed securities 

      Petersen, M.A.; Mukuddem-Petersen, J.; Schoeman, I.M.; De Waal, B.; Mulaudzi, M.P. (Wiley, 2012)
      Subprime residential mortgage securitization and its associated risks have been a major topic of discussion since the onset of the mortgage crisis in July 2007. In this paper, we provide a stochastic dynamic model for ...
    • Valuation of initial margin and model risk 

      Seitshiro, M.B. (North-West University (South Africa), 2020)
      The research work of the thesis focuses on two themes: the valuation of initial margin and model risk quantification. The first theme addresses matters arising from the valuation of initial margin for over-the-counter ...