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Vaughan van Appel

University of Johannesburg

PO Box 524

Auckland Park

Johannesburg, Gauteng 2006

South Africa

  • University of Johannesburg

SCHOLARLY PAPERS

2

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224

TOTAL CITATIONS

1

Scholarly Papers (2)

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1.

The Recovery Theorem With Application to Risk Management

Number of pages: 27 Posted: 25 Jun 2019 Last Revised: 04 Jan 2020
Vaughan van Appel and Eben Mare
University of Johannesburg and University of Pretoria
Downloads 130 (561,789)
Citation 1

Abstract:

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Density forecasting, recovery theorem, risk management, value at risk

2.

The Ross Recovery Theorem with a Regularised Multivariate Markov Chain

Number of pages: 23 Posted: 20 Jun 2018 Last Revised: 05 Nov 2018
Vaughan van Appel and Eben Mare
University of Johannesburg and University of Pretoria
Downloads 94 (720,278)

Abstract:

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Ross Recovery Theorem, Regularised Multivariate Markov Chain