Thesis (PhD (Statistics and Actuarial Science))--University of Stellenbosch, 2011.

Extremes are unusual or rare events. However, when such events – for exampleearthquakes, tidal waves and market crashes - do take place, they typically causeenormous losses, both in terms of human lives and monetary value. For this reason,it is of critical importance to accurately model...

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result...

Extreme asset price movements appear to be more pronounced recently and havemajor consequences for an economy’s financial stability and monetary policies.This paper investigates the extreme behaviour of equity market returns andquantifies the probabilities of these losses. Taking fourteen...

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures...

In terms of risk measurement, probability and quantile risk estimation have developed enormously in the past decade, from value-at-risk measures to coherent measures such as expected shortfall. These measures allow an investor to determine their risk profile accounting for losses (quantiles) at...

Futures exchanges require a margin requirement that ensures their competitiveness and protects against default risk. This paper applies extreme value theory in computing unconditional optimal margin levels for a selection of stock index futures traded on European exchanges. The theoretical...

Extreme value theory (EVT) is regularly put forward by academics, practitioners and banking regulators as a methodology for measuring the likelihood of operational risk losses that have a very low probability of occurrence, but which have the potential for catastrophic outcomes in terms of...

The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....

This dissertation investigates the implications of using the Advanced Measurement Approaches (AMA) as a method to assess operational risk capital charges for banks and insurance companies within Basel II paradigms and with regard to U.S. regulations. Operational risk has become recognized as a...