• 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 ...
• A computable general equilibrium model for banking sector risk assessment in South Africa 

  Beyers, Conrad F.J.; De Freitas, Allan; Essel-Mensah, Kojo Amonkwandoh; Seymore, Reyno; Tsomocos, Dimitrios P. (Springer, 2020-06)

  In this article a banking sector Computable general equilibrium (CGE) model for South Africa is developed. The model is used to estimate the potential effect of regulatory policy on the economy and as a risk assessment ...
• The effect of observation errors on parameter estimates applied to seismic hazard and insurance risk modelling 

  Pretorius, Samantha (University of Pretoria, 2014-04-30)

  The research attempts to resolve which method of estimation is the most consistent for the parameters of the earthquake model, and how these different methods of estimation, as well as other changes, in the earthquake model ...
• Investigating the threshold of event detection with application to earthquake and operational risk theory 

  De Witt, Corn e Juan (University of Pretoria, 2013)

  This study provides systematic analysis of points of structural change in probability distributions. In observed frequency data of earthquakes, such a threshold exists due to the non-detection of events below a certain ...
• Artificial neural networks and their application to modelling South African market returns 

  Smith, Matthew Lee (University of Pretoria, 2014)

  The modelling technique known as Artificial Neural Networks (ANNs) is investigated. ANNs have the ability to detect and project non-linear relationships between variables. Further, they can adapt in dynamically changing ...
• The recovery theorem with application to risk management 

  Van Appel, Vaughan; Mare, Eben (South African Statistical Association, 2020)

  The forward-looking nature of option prices provides an appealing way to extract risk measures. In this paper, we extract forecast densities from option prices that can be used in forecasting risk measures. More specifically, ...
• Top-down stress testing of the largest full service South African banks 

  Conradie, Dirk Cornelis Uys (University of Pretoria, 2020)

  Banks are key to a well-functioning economy. Periods of economic stress could put banks and therefore the financial system at risk so regulators such as the Prudential Authority in South Africa need to know if banks are ...
• Price discovery in the cryptocurrency option market : a univariate GARCH approach 

  Venter, Pierre Johan; Mare, Eben; Pindza, Edson (Cogent OA, 2020)

  In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX). The first model is symmetric and the other ...
• Age estimation from anterior cervical vertebral ring apophysis ossification in South Africans 

  Uys, Andre; Bernitz, Herman; Pretorius, Samantha; Steyn, M. (Springer, 2019-11)

  Age estimation in living individuals around the age of 18 years remains a difficult challenge. In this study, the anterior inferior vertebral ring apophysis development of cervical vertebrae C2, C3, and C4 of 496 white and ...
• 25-hydroxyvitamin D deficiency : impacting deep-wound infection and poor healing outcomes in patients with diabetes 

  Smart, Hiske; AlGhareeb, Ahmed Mohamed; Smart, Sally-Anne (Lippincott, Williams and Wilkins, 2019-07)

  BACKGROUND : The Kingdom of Bahrain has a high incidence of diabetes and associated foot complications. Simultaneously, low 25-hydroxyvitamin D (25[OH]D) levels are common in this population and may be associated with the ...
• Modelling South African social unrest between 1997 and 2016 

  Smart, Sally-Anne (University of Pretoria, 2019)

  Social unrest, terrorism and other forms of political violence events are highly unpredictable. These events are driven by human intent and intelligence, both of which are extremely difficult to model accurately. This has ...
• The Ross recovery theorem with a regularised multivariate Markov chain 

  Van Appel, Vaughan; Mare, Eben (Operations Research Society of South Africa, 2018-11-04)

  Recently, Ross derived a theorem, namely the “Recovery Theorem”, that allows for the recovery of the pricing kernel and real-world asset distribution, under particular assumptions, from a forward-looking risk neutral ...
• Optimal asset allocation for a DC plan with partial information under inflation and mortality risks 

  Guambe, Calisto; Kufakunesu, Rodwell; Van Zyl, A.J. (Gusti); Beyers, Conrad F.J. (Taylor and Francis, 2021)

  We study an asset allocation stochastic problem for a defined-contribution pension plan during the accumulation phase. We consider a financial market composed of a risk-free asset, an inflation-linked bond and the risky ...
• Quantitative topics in portfolio and risk management 

  Flint, Emlyn James (University of Pretoria, 2019)

  The modern quantitative portfolio manager is the quintessential “jack of all trades”. Not only do they need to be an expert in the specific area of portfolio management, they also need to have a thorough understanding of ...
• An analysis of the determinants of sovereign credit ratings 

  Yang, Jack Chao (University of Pretoria, 2018)

  The study aims to quantitatively assess the extent to which sovereign ratings could be explained by a set of economic variables. A wide variety of factors could potentially bias a credit rating agency’s decision. The ...
• Network structure indirect losses and financial contagion in inhomogeneous stochastic interbank networks 

  Walters, Nadine Mari (University of Pretoria, 2019)

  We introduce new tiered bank network structures, allowing for many di erent bank sizes, and compare risk propagation in these structures with the well-known Erd˝os-R´enyi, assortative and disassortative structures. The ...
• Financial contagion in large, inhomogeneous stochastic interbank networks 

  Walters, Nadine; Van Zyl, A.J. (Gusti); Beyers, Frederik Johannes Conradie (World Scientific Publishing, 2019-03)

  We consider the fraction of nodes that default in large, stochastic, inhomogeneous financial networks following an initial shock to the system. Results for deterministic sequences of networks are generalized to stochastic ...
• Estimating age and the probability of being at least 18 years of age using third molars : a comparison between Black and White individuals living in South Africa 

  Uys, Andre; Bernitz, Herman; Pretorius, Samantha; Steyn, M. (Springer, 2018-09)

  Third molar development of 705 White and 563 Black South African individuals aged between 15 and 25 years was assessed from panoramic radiographs obtained from the School of Dentistry, University of Pretoria, South Africa. ...

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