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Applying lessons learnt from deficiencies in the Basel Accords to Solvency II
(Sabinet, 2013)
Solvency II is the new European Union (EU) legislation that will review the capital adequacy regime for the insurance industry. Considerable progress has been made in the banking sector with the implementation of the Basel ...
Improved investment performance using the portfolio diversification index
(Sabinet, 2012)
The residual variance method is the traditional method for measuring portfolio diversification relative to a market index. Problems arise, however, when the market index itself is not appropriately diversified. A diversification ...
Hedge fund performance evaluation using the sharpe and omega ratios
(Clute Institute, 2014-05)
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio ...
The bias ratio as a hedge fund fraud indicator: an empirical performance study under different economic conditions
(Clute Institute, 2014-07)
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio ...
Hedge fund performance using scaled Sharpe and Treynor measures
(Clute Institute, 2014-11)
The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. ...
A risk-adjusted performance evaluation of US and EU hedge funds and associated equity markets over the 2007-2009 financial crisis
(Clute Institute, 2014-01)
Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional ...
Diligence in determining the appropriate form of stationarity
(AOSIS, 2014)
Orientation: One of the most vexing problems of modelling time series data is determining
the appropriate form of stationarity, as it can have a significant influence on the model’s
explanatory properties, which makes ...
Establishing the relative competitiveness of South African banking shares: a Kalman filter approach
(Clute Institute, 2015)
It is argued that the Basel III Accord will undermine the ROE of South African banks, and with the downgrading of South African banks during August 2014, will force investors to revaluate South African banking shares as ...
Basel III countercyclical capital rules: implications for South Africa
(University of Pretoria, 2012)
The financial crisis has been blamed on many entities, institutions and individuals as well as the Basel II accord which had just begun to be implemented globally when the crisis erupted. The criticisms resulted in the ...
The regulatory treatment of liquidity risk in South Africa
(University of Pretoria. Faculty of Economic and Management Sciences, 2012)
The Basel accord describes the regulatory capital requirements for credit, market and operational risk. The accord aims to provide guidelines to level the playing field for all internationally active banks and to protect ...