The simulation of the dynamic hedging of guaranteed equity bonds issued by a South African life office

 

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dc.contributor.advisor Dorrington, Rob en_ZA
dc.contributor.author Schoonees, Cornelius en_ZA
dc.date.accessioned 2014-07-30T17:44:57Z
dc.date.available 2014-07-30T17:44:57Z
dc.date.issued 2001 en_ZA
dc.identifier.citation Schoonees, C. 2001. The simulation of the dynamic hedging of guaranteed equity bonds issued by a South African life office. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/4393
dc.description Bibliography: leaves 80-81.
dc.description.abstract This dissertation illustrates how in-house dynamic hedging could be evaluated through modeling, simulation and sensitivity testing. The illustration helps to illuminate the financial benefits and associated risks of dynamic hedging, but does not provide a specific conclusion on whether dynamic hedging shoul be implemented. Ultimately this decision will depend on the unique circumstances and strategic objecitves of the life office. The scope of the dissertation is thus limited to an illustration and discussion of the relevant issues only and specifically does not cover the costing of in-house dynamically hedged guarantees. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Management and Business Administration en_ZA
dc.title The simulation of the dynamic hedging of guaranteed equity bonds issued by a South African life office en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department School of Management Studies en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MBusSc en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Schoonees, C. (2001). <i>The simulation of the dynamic hedging of guaranteed equity bonds issued by a South African life office</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Management Studies. Retrieved from http://hdl.handle.net/11427/4393 en_ZA
dc.identifier.chicagocitation Schoonees, Cornelius. <i>"The simulation of the dynamic hedging of guaranteed equity bonds issued by a South African life office."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Management Studies, 2001. http://hdl.handle.net/11427/4393 en_ZA
dc.identifier.vancouvercitation Schoonees C. The simulation of the dynamic hedging of guaranteed equity bonds issued by a South African life office. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Management Studies, 2001 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4393 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Schoonees, Cornelius AB - This dissertation illustrates how in-house dynamic hedging could be evaluated through modeling, simulation and sensitivity testing. The illustration helps to illuminate the financial benefits and associated risks of dynamic hedging, but does not provide a specific conclusion on whether dynamic hedging shoul be implemented. Ultimately this decision will depend on the unique circumstances and strategic objecitves of the life office. The scope of the dissertation is thus limited to an illustration and discussion of the relevant issues only and specifically does not cover the costing of in-house dynamically hedged guarantees. DA - 2001 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2001 T1 - The simulation of the dynamic hedging of guaranteed equity bonds issued by a South African life office TI - The simulation of the dynamic hedging of guaranteed equity bonds issued by a South African life office UR - http://hdl.handle.net/11427/4393 ER - en_ZA


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