Zobrazeno 1 - 10
of 123
pro vyhledávání: '"Gary van Vuuren"'
Autor:
Emily Groenewald, Gary Van Vuuren
Publikováno v:
International Journal of Economics and Financial Issues, Vol 14, Iss 2 (2024)
The Mahalanobis distance is a statistical measure used to quantify the distance between elliptic distributions with distinct locations and shared shapes, while accounting for the variables' covariance structure. It is applicable to both estimative an
Externí odkaz:
https://doaj.org/article/5a0801ae0e4a4639ad86f9e6ddd32c4c
Autor:
Natasa Milonas, Gary van Vuuren
Publikováno v:
International Journal of Economics and Financial Issues, Vol 14, Iss 2 (2024)
Because credit losses can be substantial, managing credit risk is a focus area of risk measurement and management. It is important for financial institutions to select credit risk models that accurately forecast losses. The Basel Committee on Banking
Externí odkaz:
https://doaj.org/article/235c318da2df48969947793c0332eb77
Autor:
Max van der Lecq, Gary van Vuuren
Publikováno v:
International Journal of Economics and Financial Issues, Vol 14, Iss 1 (2024)
Value at Risk (VaR) estimates the maximum loss a portfolio may incur at a given confidence level over a specified time, while expected shortfall (ES) determines the probability weighted losses greater than VaR. VaR has recently been replaced by (but
Externí odkaz:
https://doaj.org/article/9fdaa3610ca240858dd5d4e6ef316af4
Autor:
L. J. Basson, Gary van Vuuren
Publikováno v:
International Journal of Economics and Financial Issues, Vol 13, Iss 6 (2023)
While regulators generate and advocate the use of through the cycle (TtC) probabilities of default (PDs) for regulatory capital calculations, accounting standards (such as IFRs9) require organisations to use point in time (PiT) PDs. TtC PDs are based
Externí odkaz:
https://doaj.org/article/f1b3691eafdb40feb9e444f9107ff9bb
Autor:
Matthew van der Nest, Gary van Vuuren
Publikováno v:
Journal of Economic and Financial Sciences, Vol 16, Iss 1, Pp e1-e12 (2023)
Orientation: Commodities are a prominent feature of the global economy. A substantial component of the income and welfare of both commodity-producing and commodity-consuming countries is highly dependent on the prices of commodities, such as metals.
Externí odkaz:
https://doaj.org/article/98f5681b6adc432cb2a6a837f604406e
Autor:
Francesca Bell, Gary van Vuuren
Publikováno v:
Cogent Economics & Finance, Vol 10, Iss 1 (2022)
Firms must estimate expected credit losses (EL) to comply with accounting standards and unexpected credit losses (UL) to determine regulatory credit risk capital. Both rely on estimates of obligor probabilities of default (PD). Investors also pay clo
Externí odkaz:
https://doaj.org/article/3b3938a351b74ea1b1c2b8af1aac7c37
Autor:
Jan Frederick Hausner, Gary van Vuuren
Publikováno v:
Journal of Economics Finance and Administrative Science, Vol 26, Iss 51, Pp 94-111 (2021)
Purpose - Using a portfolio comprising liquid global stocks and bonds, this study aims to limit absolute risk to that of a standardised benchmark and determine whether this has a significant impact on expected return in both high volatility period (H
Externí odkaz:
https://doaj.org/article/724162a39992430bae80568d045ccd22
Autor:
Francesca Bell, Gary van Vuuren
Publikováno v:
Journal of Economic and Financial Sciences, Vol 15, Iss 1, Pp e1-e15 (2022)
Orientation: Environmental, social and governance (ESG) factors have evolved from peripheral significance (2000s) to a leading factor (2022) for many corporates. Most are now assigned ESG grades; which are increasingly scrutinised by investors. Rese
Externí odkaz:
https://doaj.org/article/db8499d08e8c41528597efdd10b50a0e
Autor:
Joshua van Vuuren, Gary van Vuuren
Publikováno v:
SAGE Open, Vol 12 (2022)
Hedge funds play an important role in investment markets, but high-profile frauds and market manipulation have necessitated increased scrutiny for the detection and prevention of such activities. Market metrics which signal fraudulent activity quickl
Externí odkaz:
https://doaj.org/article/f2b6d3fe42b4403595b339bff04b56ce
Autor:
Wade Gunning, Gary van Vuuren
Publikováno v:
Investment Management & Financial Innovations, Vol 17, Iss 3, Pp 263-280 (2020)
The mean-variance framework coupled with the Sharpe ratio identifies optimal portfolios under the passive investment style. Optimal portfolio identification under active investment approaches, where performance is measured relative to a benchmark, is
Externí odkaz:
https://doaj.org/article/00f3bfd3243147718c1e481497bc3e95