Browsing by Postgraduate "Mabitsela, Lesedi"

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Evaluation of the South African equity markets in a value-at-risk framework

Mabitsela, Lesedi (University of Pretoria, 2015)

The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial ...
On the risk measures representation and capital allocation in the Backward Stochastic Differential Equation framework

Mabitsela, Lesedi (University of Pretoria, 2021)

In this thesis, we study the representation of dynamic risk measures based on backward stochastic differential equations (BSDEs) and ergodic-BSDEs, and capital allocation. We consider the equations driven by the ...

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