• A computable general equilibrium model of the monetary policy implications for financial stability in South Africa 

  Beyers, Conrad F.J.; Essel-Mensah, Kojo A.; Tsomocos, Dimitrios P. (Wiley, 2024)

  The South African Reserve Bank (SARB) uses interest rates to control inflation. The Computable General Equilibrium (CGE) model can contribute to inflation targeting objective and also determine the effects on banks and ...
• Hybrid retirement strategy in South Africa 

  Van Niekerk, Andries; Moutzouris, Vasili; Mare, Eben (AOSIS, 2024-09-17)

  BACKGROUND : Many retirees in South Africa face the challenge of either outliving their retirement savings or living below their means. Studies suggest a ‘safe’ withdrawal rate of between 4% and 5%, which is below the ...
• Exploiting non-parallel risk premia in the South African sovereign bond market 

  Hariparsad, Sanveer; Mare, Eben (AOSIS, 2024-05-31)

  BACKGROUND : This study focuses on diversifying fixed income attribution beyond yield and duration by identifying new risk premia applicable to various investment strategies. AIM : To identify cross-sectional bond risk ...
• Sustainable economic development in Kenya : influence of diaspora remittances, foreign direct investment and imports 

  Mutai, Noah Cheruiyot; Ibeh, Lawrence; Nguyen, Manh Cuong; Kiarie, Joyce Wangui; Ikamari, Cynthia (Emerald, 2024)

  PURPOSE : Many African countries struggle to sustain steady economic growth. Specific macro-economic factors can influence a country’s economic growth. We investigated the trend and influence of diaspora remittances, ...
• The contribution of insurers to systemic risk : a practical framework for regulators 

  Rusconi, Rob; Beyers, Frederik Johannes Conradie; Walters, Nadine (Actuarial Society of South Africa, 2023-12)

  While insurers are not typically the most significant contributors to systemic risk, their actions and behaviour may materially contribute to such risk. This study considers the models that may be used to detect systemic ...
• Pricing two-asset rainbow options with the fast Fourier transform 

  Levendis, Alexis; Mare, Eben (South African Statistical Association (SASA), 2023)

  In this paper, we present a numerical method based on the fast Fourier transform (FFT) to price call options on the minimum of two assets, otherwise known as two-asset rainbow options. We consider two stochastic processes ...
• An economic scenario generator for embedded derivatives in South Africa 

  Levendis, Alexis; Mare, Eben (Actuarial Society of South Africa, 2022)

  It is well known that interest rate risk is a dominating factor when pricing long-dated contingent claims. The Heston stochastic volatility model fails to capture this risk as the model assumes a constant interest rate ...
• Applying stochastic volatility models in the risk-neutral and real-world probability measures 

  Levendis, Alexis Jacques (University of Pretoria, 2023)

  Stochastic volatility models have become immensely popular since their introduction in 1993 by Heston. This is because their dynamics are more consistent with market behaviour compared to the standard Black-Scholes model. ...
• Collateralised option pricing in a South African context : a univariate GARCH approach 

  Venter, Pierre J.; Levendis, Alexis Jacques; Mare, Eben (Taylor and Francis, 2022)

  In this paper, the generalised autoregressive heteroskedasticity (GARCH) model is applied to the pricing of collateralised options in the South African equity market. Symmetric GARCH and nonlinear asymmetric GARCH (AGARCH) ...
• Efficient pricing of spread options with stochastic rates and stochastic volatility 

  Levendis, Alexis Jacques; Mare, Eben (MDPI, 2022-11)

  Spread options are notoriously difficult to price without the use of Monte Carlo simulation. Some strides have been made in recent years through the application of Fourier transform methods; however, to date, these methods ...
• Regulating South Africa’s retirement funds : the case for clearer objectives 

  Rusconi, Rob (Juta Law, 2021-11-30)

  The rationale for the regulation of participants in financial markets, like retirement funds, is sound. It would be strengthened, however, by a clear statement of the objectives of such regulation. In this article the ...
• Simulation-based optimisation of the timing of loan recovery across different portfolios 

  Botha, Arno; Beyers, Conrad F.J.; De Villiers, Johan Pieter (Elsevier, 2021-09)

  A novel procedure is presented for the objective comparison and evaluation of a bank’s decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the ...
• Time-varying volatility models and indices : a GARCH option pricing approach 

  Venter, Pierre Johan (University of Pretoria, 2022)

  In this thesis, the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is applied to illiquid markets, volatility indices and in a modern derivative pricing framework. Chapter 2 provides ...
• If the equal weighted portfolio is so great, why isn’t it working in South Africa? 

  Taljaard, Byran Hugo; Mare, Eben (NISC Pty (Ltd) and Informa Limited (trading as Taylor and Francis Group), 2021)

  This paper considers the recent underperformance of the equal weighted portfolio of South African Top 40 stocks relative to the market capitalisation weighted portfolio. It highlights the impact of the increased concentration ...
• Modelling of financial risk using forward-looking distributions derived from contingent claims 

  Van Appel, Vaughan (University of Pretoria, 2022)

  In this thesis, we investigate several methods for extracting the forecast distribution from historical asset returns and market-quoted option prices. Typically, risk-neutral distributions, extracted from market quoted ...
• Univariate and multivariate GARCH models applied to bitcoin futures option pricing 

  Venter, Pierre Johan; Mare, Eben (MDPI, 2021-06-10)

  In this paper, the Heston–Nandi futures option pricing model is applied to Bitcoin futures options. The model prices are compared to market prices to give an indication of the pricing performance. In addition, a multivariate ...
• Improving our understanding of the equal weighted portfolio 

  Taljaard, Byran H. (University of Pretoria, 2022)

  This thesis analyses the performance of the equal weighted portfolio using an approach from stochastic portfolio theory. This framework allows for the decomposition of the relative performance of the equal weighted portfolio ...
• Determining safe retirement withdrawal rates using forward-looking distributions 

  Van Appel, Vaughan; Mare, Eben (Academy of Science of South Africa, 2022-03)

  An important topic for retirees is determining how much they can safely withdraw from their retirement savings: draw too much from their retirement fund and risk outliving their retirement savings, or draw too little and ...
• Why has the equal weight portfolio underperformed and what can we do about it? 

  Taljaard, Byran Hugo; Mare, Eben (Routledge, 2021)

  It is widely noted that market capitalisation weighted portfolios are inefficient and underperform an equal weighted portfolio over the long-term. However, at least since 2016, an equal weighted portfolio of stocks in the ...
• A computable general equilibrium model as a banking sector regulatory tool in South Africa 

  Beyers, Frederik Johannes Conradie; De Freitas, Allan; Essel-Mensah, Kojo Amonkwandoh; Seymore, Reyno; Tsomocos, Dimitrios P. (Wiley, 2022-03)

  A computable general equilibrium (CGE) model is used as a regulatory tool for the banking sector in South Africa. The model is used to determine the effects of regulatory penalties, capital adequacy requirements (CAR) and ...

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