Johannes Hendrik Venter

North-West University - Center for Business Mathematics

Professor

Potchefstroom Campus

Faculty of Economic and Management Sciences

POTCHEFSTROOM 2520

South Africa

  • North-West University - Center for Business Mathematics

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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1.

Extending the Ekop Model to Estimate the Probability of Informed Trading

Number of pages: 20 Posted: 25 May 2004
Johannes Hendrik Venter and Dawid CJ de Jongh
North-West University - Center for Business Mathematics and North-West University - Center for BMI
Downloads 635 (58,686)
Citation 29

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Informed trading, market microstructure, model fit, Poisson Inverse Gaussian distribution

2.

Extensions of the Ekop Model

Number of pages: 24 Posted: 14 Jan 2005
Johannes Hendrik Venter and Dawid CJ de Jongh
North-West University - Center for Business Mathematics and North-West University - Center for BMI
Downloads 160 (253,573)

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Informed trading, model fit, Poisson Log-Normal distribution, news noise

3.

Combining Scenario and Historical Data in the Loss Distribution Approach: A New Procedure that Incorporates Measures of Agreement between Scenarios and Historical Data

Journal of Operational Risk, Vol. 10, No. 1, 2015
Number of pages: 32 Posted: 30 Jun 2016
Riaan de Jongh, T de Wet, Helgard Raubenheimer and Johannes Hendrik Venter
North-West University, North-West University, North-West University and North-West University - Center for Business Mathematics
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Abstract:

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loss distribution approach, severity distribution estimation, aggregate loss distribution estimation, combining historical data with scenario information, measures of agreement