Now showing items 1-5 of 5

    • The impact of PD-LGD correlation on expected loss and economic capital 

      Van Vuuren, Gary; De Jongh, Riaan; Verster, Tanja (Klute Institute, 2017)
      The Basel regulatory credit risk rules for expected losses require banks use downturn loss given default (LGD) estimates because the correlation between the probability of default (PD) and LGD is not captured, even though ...
    • The impact of systemic loss given default on economic capital 

      Van Dyk, Jenni; Lange, Jaun; Van Vuuren, Gary (Klute Institute, 2017)
      Empirical studies have demonstrated that loan default probabilities (PD) and loss given defaults (LGD) are positively correlated because of a common, business cycle, dependency. Regulatory capital requirements demand that ...
    • Insights into the microbial composition and potential efficiency of selected commercial biofertilisers 

      Raimi, Adekunle; Roopnarain, Ashira; Adeleke, Rasheed; Chirima, George J. (Elsevier, 2020)
      This study investigated 13-commercial biofertilisers for their microbial contents and potential functional capabilities using a culture-based approach. Isolates obtained were identified by sequencing the partial I6S rRNA ...
    • Replicating the CBOE VIX using a synthetic volatility index trading algorithm 

      Cary, Dayne; Van Vuuren, Gary (Taylor & Francis, 2019)
      This article tests whether a correlation exists between a stochastic synthetic volatility index (SVIX) and the Chicago Board Options Exchange (CBOE) volatility index (VIX) and assesses the success of the indicators’ ...
    • The VHE γ-ray view of the FSRQ PKS 1510-089 

      Zacharias, Michael; Prester, Dijana Dominis; Jankowsky, Felix; Lindfors, Elina; Meyer, Manuel; H.E.S.S. Collaboration; MAGIC Collaboration (MDPI, 2019)
      The flat spectrum radio quasar PKS 1510-089 is a monitored target in many wavelength bands due to its high variability. It was detected as a very-high-energy (VHE) γ-ray emitter with H.E.S.S. in 2009, and has since been a ...