The determination of minimum capital requirement using expected shortfall : a case study of a South African equity market

Thesis

Open access

Pedro Diniz De Moura

MCom, University of Johannesburg

2019

Handle:

https://hdl.handle.net/10210/295802

Abstract

Stock exchanges - South Africa

Financial risk management - South Africa

GARCH model

M.Com. (Financial Economics) Please refer to full text to view abstract.

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Title: The determination of minimum capital requirement using expected shortfall : a case study of a South African equity market
Creators - without role: Pedro Diniz De Moura
Contributors - without role: Joel Hinaunye Eita
Awarding Institution: University of Johannesburg; MCom
Theses and Dissertations: MCom, University of Johannesburg
Identifiers: 9913660907691
Copyright: University of Johannesburg
Academic Unit: Department of Economic and Econometrics
Resource Type: Thesis