Browsing Faculty of Natural and Agricultural Sciences by Subject "Banks"

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    • Optimal allocation between bank loans and treasuries with regret 

      Mulaudzi, M.P.; Petersen, M.A.; Schoeman, I.M. (Springer, 2008)
      The main categories of assets held by banks are loans, Treasuries (bonds issued by the national Treasury), reserves and intangible assets. In our contribution, we investigate the investment of bank funds in loans and ...

    • A proposed best practice model validation framework for banks 

      De Jongh, Pieter J.; Larney, Janette; Van Vuuren, Gary W.; Verster, Tanja; Maré, Eben (AOSIS, 2017)
      Background: With the increasing use of complex quantitative models in applications throughout the financial world, model risk has become a major concern. The credit crisis of 2008–2009 provoked added concern about the ...