Credit valuation adjustments with application to credit default swaps

The credit valuation adjustment (CVA) on an over-the-counter derivative transaction is the price of the risk associated with the potential default of the counterparties to the trade. This dissertation provides an introduction to the concept of CVA, beginning with the required backdrop of counterparty risk and the basics of default risk modelling. Right and wrong way risks are central themes of the dissertation. A model for the pricing of both the unilateral and the bilateral CVA on a credit default swap (CDS) is implemented. Each step of this process is explained thoroughly. Results are reported and discussed for a range of parameters. The trends observed in the CDS CVA numbers produced by the model are all justified and the right and wrong way nature of the exposures captured. In addition, the convergence and stability of the numerical schemes utilised are shown to be appropriate. A case study, in which the model is applied to a set of market scenarios, concludes the dissertation. Since the field is far from established, a number of areas are suggested for further research. CopyrightDissertation (MSc)--University of Pretoria, 2012.Mathematics and Applied Mathematicsunrestricte

Working memory and phonological awareness.

Phonological awareness, and working memory, as a component of phonological awareness, have been found to be highly correlated, not only with the acquisition of reading skills, but also with each other. Existing data does not address this aspect of emergent literacy in South African children, for whom bilingualism may impact on their levels of phonological awareness, and possibly working memory. This research study was designed and conducted in an attempt to identify the relationship between these two skills in a sample of seventy-nine South African Grade 1 children (mean age 86 months). The sample consisted of two language groups, namely first-language English (EL1), an opaque orthography (n=42) and second-language English with first-language one of the nine official African languages of South Africa (EL2), a transparent orthography (n=37). The primary aim was to examine the relationship between phonological awareness (comprising a sound categorisation task, a phoneme deletion task, and a syllable splitting task) and working memory (comprising a verbal short-term memory task, a visuo-spatial short-term memory task, a verbal working memory task and a visuo-spatial working memory task). A measure of non-verbal intelligence was included as a control. Separate analyses were run for the two language groups in order to draw a comparison between their performance on the tasks. Results generally supported existing literature that showed that the relationship between working memory and phonological awareness appears to be dependent on the depth of analysis of phonological awareness, which determines the level of demand made on working memory, yet the relationship differed between the language groups, indicating that the EL2 children draw more on general or apparently unrelated skills to conduct working memory and phonological awareness tasks. A secondary aim of this study was to explore the predictive power of firstly, the four memory skills on phonological awareness; secondly, the sound categorisation skills on phoneme deletion and finally, non-verbal intelligence on working memory. Results again differed between the language groups, suggesting that a broader range of working memory skills predict performance on phonological awareness tasks in the EL2 group than in the EL1 group. The implications of these results are discussed in detail

Value at risk in the South African equity market : a view from the tails

Traditional parametric Value at Risk (VaR) estimates assume normality in financial returns data. However, it is well known that this distribution, while convenient and simple to implement, underestimates the kurtosis demonstrated in most financial returns. Huisman, Koedijk and Pownall (1998) replace the normal distribution with the Student’s t distribution in modelling financial returns for the calculation of VaR. In this paper we extend their approach to the Monte Carlo simulation of VaR on both linear and non-linear instruments with application to the South African equity market. We show, via backtesting, that the t distribution produces superior results to the normal one

Ventilatory Function Studies in Extraperiosteal Plombage

Classical thoracoplasty, being the recognized standard procedure for permanent collapse therapy in pulmonary tuberculosis, has yet to be surpassed by any other surgical method with regard to long-term arrest of the disease and sputum conversion. However, it is a multiple-stage procedure, requir-ing extensive decostalization followed by perma-nent deformity and considerable impairment of ventilatory function (Kaltreider, Fray, an