Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Gary W. van Vuuren"'
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 21, Iss 1, Pp e1-e12 (2018)
Background: A variant of the contingent convertible bond, first proposed in 2011, is investigated: the Call Option Enhanced Reverse Convertible (COERC). Although issued as a bond, it converts to new shareholder’s equity if a bank’s market share o
Externí odkaz:
https://doaj.org/article/9910a85ba6be40cf93b513f0a7218154
Autor:
Nico Kritzinger, Gary W. van Vuuren
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 21, Iss 1, Pp e1-e15 (2018)
Background: Credit scoring is a statistical tool allowing banks to distinguish between good and bad clients. However, literature in the world of credit scoring is limited. In this article parametric and non-parametric statistical techniques that are
Externí odkaz:
https://doaj.org/article/e17a0e3227bc44bba62a9fee1e734526
Autor:
Dirk Visser, Gary W. van Vuuren
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 21, Iss 1, Pp e1-e13 (2018)
Background: Tradeable credit assets are vulnerable to two varieties of credit risk: default risk (which manifests itself as a binary outcome) and spread risk (which arises as spreads change continuously). Current (2017) regulatory credit risk rules r
Externí odkaz:
https://doaj.org/article/e324fdf0c8d24c649c401386bbacc0ea
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 21, Iss 1, Pp e1-e15 (2018)
Volatile markets and economic environments can significantly distort the shape and smoothness of yield curve movements. This study explores the influence of movements in United States interest rates on South African interest rates. This study aims to
Externí odkaz:
https://doaj.org/article/4df2ec2c347b46ffafb870f60b7f6982
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 20, Iss 1, Pp e1-e14 (2017)
Background: No credit rating methodology currently exists for any of South Africa’s sub nationals. Aim: To develop a generic, quantitative credit rating methodology for the Department of Health and the Department of Education combined, as well as
Externí odkaz:
https://doaj.org/article/570f2b567d79402f9e54e352946eae33
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 20, Iss 1, Pp e1-e9 (2017)
Background: In the aftermath of the sub-prime crisis, systemic risk has become a greater priority for regulators, with the National Treasury (2011) stating that regulators should proactively monitor changes in systemic risk. Aim: The aim is to quant
Externí odkaz:
https://doaj.org/article/6627a175942a4b22b61c5d72df854b68
Publikováno v:
South African Journal of Economic and Management Sciences, Vol 20, Iss 1, Pp e1-e15 (2017)
Background: With the increasing use of complex quantitative models in applications throughout the financial world, model risk has become a major concern. The credit crisis of 2008–2009 provoked added concern about the use of models in finance. Meas
Externí odkaz:
https://doaj.org/article/b23f3c3b3e3f465490e378feffe89574