Search results for: Mesias Alfeus

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Alfeus</title> <meta name="description" content="Search results for: Mesias Alfeus"> <meta name="keywords" content="Mesias Alfeus"> <meta name="viewport" content="width=device-width, initial-scale=1, minimum-scale=1, maximum-scale=1, user-scalable=no"> <meta charset="utf-8"> <link href="https://cdn.waset.org/favicon.ico" type="image/x-icon" rel="shortcut icon"> <link href="https://cdn.waset.org/static/plugins/bootstrap-4.2.1/css/bootstrap.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/plugins/fontawesome/css/all.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/css/site.css?v=150220211555" rel="stylesheet"> </head> <body> <header> <div class="container"> <nav class="navbar navbar-expand-lg navbar-light"> <a class="navbar-brand" href="https://waset.org"> <img src="https://cdn.waset.org/static/images/wasetc.png" alt="Open Science Research Excellence" title="Open Science Research Excellence" /> </a> <button class="d-block d-lg-none navbar-toggler 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id="custom-search-input"> <div class="input-group"> <i class="fas fa-search"></i> <input type="text" class="search-query" name="q" placeholder="Author, Title, Abstract, Keywords" value="Mesias Alfeus"> <input type="submit" class="btn_search" value="Search"> </div> </div> </form> </div> </div> <div class="row mt-3"> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Commenced</strong> in January 2007</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Frequency:</strong> Monthly</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Edition:</strong> International</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Paper Count:</strong> 1</div> </div> </div> </div> <h1 class="mt-3 mb-3 text-center" style="font-size:1.6rem;">Search results for: Mesias Alfeus</h1> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1</span> Stochastic Default Risk Estimation Evidence from the South African Financial Market</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mesias%20Alfeus">Mesias Alfeus</a>, <a href="https://publications.waset.org/abstracts/search?q=Kirsty%20Fitzhenry"> Kirsty Fitzhenry</a>, <a href="https://publications.waset.org/abstracts/search?q=Alessia%20Lederer"> Alessia Lederer</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The present paper provides empirical studies to estimate defaultable bonds in the South African financial market. The main goal is to estimate the unobservable factors affecting bond yields for South African major banks. The maximum likelihood approach is adopted for the estimation methodology. Extended Kalman filtering techniques are employed in order to tackle the situation that the factors cannot be observed directly. Multi-dimensional Cox-Ingersoll-Ross (CIR)-type factor models are considered. Results show that default risk increased sharply in the South African financial market during COVID-19 and the CIR model with jumps exhibits a better performance. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=default%20intensity" title="default intensity">default intensity</a>, <a href="https://publications.waset.org/abstracts/search?q=unobservable%20state%20variables" title=" unobservable state variables"> unobservable state variables</a>, <a href="https://publications.waset.org/abstracts/search?q=CIR" title=" CIR"> CIR</a>, <a href="https://publications.waset.org/abstracts/search?q=%CE%B1-CIR" title=" 伪-CIR"> 伪-CIR</a>, <a href="https://publications.waset.org/abstracts/search?q=extended%20kalman%20filtering" title=" extended kalman filtering"> extended kalman filtering</a> </p> <a href="https://publications.waset.org/abstracts/151890/stochastic-default-risk-estimation-evidence-from-the-south-african-financial-market" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/151890.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">111</span> </span> </div> </div> </div> </main> <footer> <div id="infolinks" class="pt-3 pb-2"> <div class="container"> <div style="background-color:#f5f5f5;" class="p-3"> <div class="row"> <div class="col-md-2"> <ul class="list-unstyled"> About <li><a href="https://waset.org/page/support">About Us</a></li> <li><a href="https://waset.org/page/support#legal-information">Legal</a></li> <li><a target="_blank" rel="nofollow" href="https://publications.waset.org/static/files/WASET-16th-foundational-anniversary.pdf">WASET celebrates its 16th foundational anniversary</a></li> </ul> </div> <div class="col-md-2"> <ul class="list-unstyled"> Account <li><a href="https://waset.org/profile">My Account</a></li> </ul> </div> <div 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Search results for: Mesias Alfeus