Similar Search Results

Implied asset correlation in retail loan portfolios

Botha, Marius; Van Vuuren, Gary - In: Journal of risk management in financial institutions 3 (2009/10) 2, pp. 156-173

Persistent link: https://www.econbiz.de/10003963534

The impact of systemic loss given default on economic capital

Van Dyk, Jenni; Lange, Jaun; Van Vuuren, Gary - In: International business and economics research journal 16 (2017) 2, pp. 87-100

Persistent link: https://www.econbiz.de/10011701563

Asset correlations in single factor credit risk models : an empirical investigation

Stoffberg, Hestia Jacomina; Van Vuuren, Gary - In: Applied economics 48 (2016) 16/18, pp. 1602-1617

Persistent link: https://www.econbiz.de/10011456702

Replicating the CBOE VIX using a synthetic volatility index trading algorithm

Cary, Dayne; Van Vuuren, Gary - In: Cogent economics & finance 7 (2019) 1, pp. 1-21

This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ application by pairing an undeveloped trading strategy to gauge its...

Persistent link: https://www.econbiz.de/10014230463

Deriving correlation matrices for missing financial time-series data

Burger, Schalk; Silverman, Searle; Van Vuuren, Gary - In: International journal of economics and finance 10 (2018) 10, pp. 105-120

Persistent link: https://www.econbiz.de/10011944933

The impact of PD-LGD correlation on expected loss and economic capital

Van Vuuren, Gary; De Jongh, Riaan; Verster, Tanja - In: International business and economics research journal 16 (2017) 3, pp. 157-170

Persistent link: https://www.econbiz.de/10011965066