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Francesca Bell,Gary van Vuuren
AbstractOrientation: Environmental, social and governance (ESG) factors have evolved from peripheral significance (2000s) to a leading factor (2022) for many corporates. Most are now assigned ESG grades; which are increasingly scrutinised by investors.Re...
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Michael H. Daly,Gary van Vuuren
AbstractOrientation: Active portfolio managers must simultaneously maximise excess returns (over benchmarks), limit risk and observe constraints on, for example, tracking errors (TRs), betas and asset weights.Research purpose: Determining the range of po...
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Jenni van Dyk, Jaun Lange, Gary van Vuuren
Empirical studies have demonstrated that loan default probabilities (PD) and loss given defaults (LGD) are positively correlated because of a common, business cycle, dependency. Regulatory capital requirements demand that banks use downturn LGD estimates...
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Adam Karp, Gary van Vuuren
This paper tests the validity and accuracy of the Capital Asset Pricing Model and the Fama-French Three-Factor Model, by predicting the variation in excess portfolio returns on the Johannesburg Stock Exchange. Portfolios of stocks were constructed based ...
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Gary van Vuuren, Riaan de Jongh, Tanja Verster
The Basel regulatory credit risk rules for expected losses require banks use downturn loss given default (LGD) estimates because the correlation between the probability of default (PD) and LGD is not captured, even though this has been repeatedly demonst...
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Ezelda Swanepoel,J Esterhuysen,Gary van Vuuren,Ronnie Lotriet
AbstractCorporate strategies have been increasingly confronted with the need to measure and manage corporate reputation. Despite the importance associated with measuring and assessing reputational risk, the effectiveness of techniques that accomplish the...
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Daniel Thomson, Gary van Vuuren
A Fourier transform analysis is proposed to determine the duration of the South African business cycle, measured using log changes in nominal gross domestic product (GDP). The most prominent cycle (two smaller, but significant, cycles are also present in...
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Anton Styger, Gary van Vuuren, Andre Heymans
Public funding for higher education in South Africa is a significant investment. Large amounts of funds are invested in students and there is a national shortage of high quality students in scarce skills - in particular, students with a postgraduate qual...
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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. It is, therefore, not suited f...
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Francois van Dyk, Gary van Vuuren, Andre Heymans
The Sharpe ratio is widely used as a performance evaluation measure for traditional (i.e., long only) investment funds as well as less-conventional funds such as hedge funds. Based on mean-variance theory, the Sharpe ratio only considers the first two mo...
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