11 citations · 27 across the 10 of their papers we have counts for
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q-fin.RM2018
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…
q-fin.PM2018
Optimal asset allocation for a DC plan with partial information under inflation and mortality risks
Calisto Guambe, Rodwell Kufakunesu, Gusti Van Zyl +1
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochast…