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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
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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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Visualisation of Mahalanobis distances for trivariate JOINT distributions
Groenewald, Emily; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 2, pp. 203-206
Persistent link: https://www.econbiz.de/10014584084
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Through-the-cycle to point-in-time probabilities of default conversion : inconsistencies in the Vasicek approach
Basson, L. J.; Van Vuuren, Gary - In: International journal of economics and financial issues … 13 (2023) 6, pp. 42-52
Persistent link: https://www.econbiz.de/10014431298