Simon du Plooy

North West University

PhD Student

Hoffman Street

Potchefstroom , 2520

South Africa

http://natural-sciences.nwu.ac.za/bmi

Corion Capital

Portfolio Manager

41 Sir Lowry Road

Foreshore

Cape Town, Western Cape 7925

South Africa

http://www.corion.co.za

SCHOLARLY PAPERS

2

DOWNLOADS

130

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Extending Risk Budgeting for Market Regimes and Quantile Factor Models

Number of pages: 22 Posted: 20 Mar 2018
Emlyn James Flint and Simon du Plooy
Legae Peresec and North West University
Downloads 105 (268,718)

Abstract:

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risk budgeting, risk-based optimisation, market regimes, quantile factor models, multi-objective optimisation

2.

Risk Contributions and Realised Losses: An Analysis Using Quantile Simulation

Number of pages: 21 Posted: 28 Jun 2018
Simon du Plooy
North West University
Downloads 25 (516,428)

Abstract:

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risk budget, risk contribution, quantile regression, quantile simulation, realised loss