• An application of copulas to improve PCA biplots for multivariate extremes 

      Perrang, Justin (Stellenbosch : Stellenbosch University, 2018-12)
      ENGLISH SUMMARY : Principal Component Analysis (PCA) biplots is a valuable means of visualising high dimensional data. The application of PCA biplots over a wide variety of research areas containing multivariate data is ...
    • The appropriateness of ISDA SIMM for delta risk initial margin calculations in the South African over-the-counter interest rate swap market 

      Cronje, Robert (Stellenbosch : Stellenbosch University, 2020-12)
      ENGLISH SUMMARY : This research assignment assesses the appropriateness of the calibrations in the ISDA SIMM for calculating delta risk initial margin (IM) in the current over-the-counter interest rate swap market in South ...
    • Categorical CVA biplots 

      Rodwell, David Timothy (Stellenbosch : Stellenbosch University, 2020-12)
      ENGLISH ABSTRACT: In the modern era a great amount of emphasis is placed on data visualisation, especially in cases where a large amount of data is present. Usually, in these instances, the data is of a high-dimensional ...
    • Credit and debit value adjustment estimations in the data sparse South African market 

      De Jager, Louis Porter (Stellenbosch : Stellenbosch University, 2017-03)
      ENGLISH SUMMARY : During 2014, the International Accounting Standards Board (IASB) implemented a new standard for measuring the fair value of assets through the International Financial Reporting Standards (IFRS) 13 guidance. ...
    • Estimating expected exposure profiles using biplot interpolation 

      Van Niekerk, Francesca (Stellenbosch : Stellenbosch University, 2020-03)
      ENGLISH SUMMARY : The accounting standards provides guidelines on how to determine the fair value for a financial asset or liability held at fair value. When considering the fair value of derivative instruments, some additional ...
    • Exploding biplots with density axes in Plotly 

      Sandilands, Delia (Stellenbosch : Stellenbosch University, 2020-12)
      ENGLISH SUMMARY : Biplots are visual approximations to multidimensional data sets and are very useful in data driven procedures. However, certain issues occur when dealing with a large number of observations or variables. ...
    • Predicting equity movements using structural models of debt pricing and statistical learning 

      Singh, Kiran Ryan (Stellenbosch : Stellenbosch University, 2019-04)
      ENGLISH SUMMARY : Valuation is not an interesting problem in corporate finance, it is the only problem. Price and value are assumed to be the same number in economic theories of equilibrium and perfect capital markets. The ...