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The impact of PD-LGD correlati...
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Credit risk
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Van Vuuren, Gary
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Cogent Economics & Finance
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10
South African journal of economic and management sciences
10
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9
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8
Tydskrif vir studies in ekonomie en ekonometrie : SEE
7
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ECONIS (ZBW)
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EconStor
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RePEc
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1
A comparison of risk aggregation estimates using copulas and Fleishman distributions
Van Vuuren, Gary
;
De Jongh, Riaan
- In:
Applied economics
49
(
2017
)
17
,
pp. 1715-1731
Persistent link: https://www.econbiz.de/10011815395
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2
A proposed best practice model validation framework for banks
Jongh, Pieter Juriaan de
;
Larney, Janette
;
Maré, E.
; …
- In:
South African journal of economic and management sciences
20
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011778222
Saved in:
3
Development and comparison of payment behaviour prediction models for two South African state departments
Fourie, Erika
;
Verster, Tanja
;
Van Vuuren, Gary
- In:
South African journal of economic and management sciences
20
(
2017
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011778244
Saved in:
4
Modelling systemic liquidity risk with feedback effects in the UK banking sector
Van Vuuren, Gary
- In:
Journal of risk management in financial institutions
5
(
2011/12
)
1
,
pp. 36-59
Persistent link: https://www.econbiz.de/10009503117
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5
Further evidence of long memory in the South African stock market
Morris, Quinton
;
Van Vuuren, Gary
;
Styger, Paul
- In:
The South African journal of economics
77
(
2009
)
1
,
pp. 81-101
Persistent link: https://www.econbiz.de/10003837750
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6
Retail credit capital charge optimisation and the new Basel Accord
Botha, Marius
;
Van Vuuren, Gary
- In:
Journal of risk management in financial institutions
2
(
2008/09
)
3
,
pp. 265-283
Persistent link: https://www.econbiz.de/10003865066
Saved in:
7
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
Saved in:
8
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
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9
The effect of stressed economic conditions on systemic risk within the South African banking sector
Esterhuysen, Ja'nel
;
Van Vuuren, Gary
;
Styger, Paul
- In:
The South African journal of economics
79
(
2011
)
3
,
pp. 270-289
Persistent link: https://www.econbiz.de/10009376664
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10
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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