Browsing Journal Articles by Department "African Inst. of Fin. Markets and Risk Mngnt"

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How deep is your model? Network topology selection from a model validation perspective

Author: Nowaczyk, Nikolai ; Kienitz, Jörg ; Acar, Sarp K ; Liang, Qian Date: 03 Jan 2022 Deep learning is a powerful tool, which is becoming increasingly popular in financial modeling. However, model validation requirements such as SR 11-7 pose a significant obstacle to the deployment of neural networks in a bank’s production ... Read more c b
Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models

Author: Feng, Yu ; Rudd, Ralph ; Baker, Christopher ; Mashalaba, Qaphela ; Mavuso, Melusi ; Schlögl, Erik Date: 04 Jan 2021 We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to ... Read more c b
Wealth Inequality in South Africa—The Role of Government Policy

Author: Fortuin, Marlin Jason ; Grebe, Gerhard Philip Maree ; Makoni, Patricia Lindelwa Date: 30 May 2022 In South Africa, high levels of wealth inequality have persisted since 1994, to the extent that 1% of the population owns 50% of the wealth. This study examines how macroeconomic policies influenced wealth inequality in South Africa over the ... Read more c b

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