7 citations · 7 across the 4 of their papers we have counts for
4 papers
Distributionally robust Expected Shortfall for convex payoffs
Gusti van Zyl
We study distributionally robust Expected Shortfall when the distribution of the underlying is perturbed by a size quantified with optimal transport distance based on the quadratic…
A measure approximation theorem for Wasserstein-robust expected values
Gusti van Zyl
We consider the problem of finding the infimum, over probability measures being in a ball defined by Wasserstein distance, of the expected value of a bounded Lipschitz random varia…
A framework for simulating systemic risk and its application to the South African banking sector
Nadine M Walters, Conrad Beyers, Gusti van Zyl +1
We present a network-based framework for simulating systemic risk that considers shock propagation in banking systems. In particular, the framework allows the modeller to reflect a…
Self-Referential Definition of Orthogonality
Elemer E Rosinger, Gusti van Zyl
There has for longer been an interest in finding equivalent conditions which define inner product spaces, and the respective literature is considerable, see for instance Amir, whic…