Browsing Actuarial Science by Subject "Risk management"

Browsing Actuarial Science by Subject "Risk management"

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  • 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 ...
  • 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 ...
  • 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, ...