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Calculating operational value-at-risk (OpVaR) in a retail bank
Esterhuysen, Ja'nel; Styger, Paul; Van Vuuren, Gary - In: South African journal of economic and management sciences 11 (2008) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10003711377
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A review and update of value at risk
Maxwell, D.; Van Vuuren, Gary - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 38 (2014) 3, pp. 79-101
Persistent link: https://www.econbiz.de/10010517315
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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
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Optimizing tracking error-constrained portfolios
Maxwell, Michael; Daly, Michael; Thomson, Daniel; Van … - In: Applied economics 50 (2018) 54, pp. 5846-5858
Persistent link: https://www.econbiz.de/10012062920
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An evaluation and comparison of Value at Risk and Expected Shortfall
Burdorf, Tom; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 4, pp. 17-34
Persistent link: https://www.econbiz.de/10012055643
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Simulating credit loss distributions : empirical versus the Vasicek model
Milonas, Natasa; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 2, pp. 77-88
Persistent link: https://www.econbiz.de/10014584054
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Estimating Value at Risk and expected shortfall : a Kalman filter approach
Lecq, Max van der; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10014567063