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 ...

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 ...

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 ...

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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 ...