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Computation of operational value at risk using the severity distribution model based on Bayesian method with Gibbs sampler
Muteba Mwamba, John - In: Risk management, strategic thinking and leadership in …, (pp. 103-121). 2017
Persistent link: https://www.econbiz.de/10011597244
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Modelling aggregate risk of the South African banking industry : an application to Pillar II economic capital
Khoza, Dingaan Jack; Muteba Mwamba, John - In: African finance journal 20 (2018) 1, pp. 39-65
Persistent link: https://www.econbiz.de/10011959054
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GAS Copula models on who's systemically important in South Africa : banks or insurers?
Manguzvane, Mathias Mandla; Muteba Mwamba, John - In: Empirical economics : a journal of the Institute for … 59 (2020) 4, pp. 1573-1604
Persistent link: https://www.econbiz.de/10012298826
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Modelling systemic risk in the South African banking sector using CoVaR
Manguzvane, Mathias Mandla; Muteba Mwamba, John - In: International review of applied economics 33 (2019) 5, pp. 624-641
Persistent link: https://www.econbiz.de/10012182351