Exposure-at-default (EAD) is one of the most interesting and most difficult parameters to estimate in counterparty credit risk (CCR). Basel I offered only the non-internal Current Exposure Method (CEM) for estimating this quantity whilst Basel II further introduced the Standardised Method (SM)...

This paper investigates asymmetric co-integration and causality effects between financial development and economic growth for South African data spanning over the period of 1992 to 2013. To this end, we make use of the momentum threshold autoregressive (MTAR) approach which allows for threshold...

This paper presents a detailed empirical examination of the South African equity premium; and a quantitative theoretic exercise to test the canonical inter-temporal consumption-based asset-pricing model under power utility. Over the long run, the South African stock market produced average...

A new methodology to derive IFRS 9 PiT PDs is proposed. The methodology first derives a PiT term structure with accompanying segmented term structures. Secondly, the calibration of credit scores using the Lorenz curve approach is used to create account-specific PD term structures. The PiT term...

This research is aimed at a formal appraisal of recent advancements in stochastic volatility modeling and extreme-value theory to application of value-at-risk computation in particularly volatile markets. Established methods such as historical simulation are prone to underestimating...

Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators' objective is to avoid financial crises, and even though they can somewhat control local conditions, internationally transmitted crises are difficult to tackle....

Modelling investor behaviour in the South African context is important for investment companies to profile their clients. Various factors can influence the risk tolerance of investors. For the purpose of this research article, the emphasis was placed on demographics, life satisfaction and how...

Modelling investor behaviour in the South African context is important for investment companies to profile their clients. Various factors can influence the risk tolerance of investors. For the purpose of this research article, the emphasis was placed on demographics, life satisfaction and how...

The main objective of this paper was to establish which behavioural finance biases are associated with a certain level of risk tolerance and investor personality. Furthermore, the study aimed to indicate how these behavioural finance biases can influence investment decisions. Since behavioural...