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Hatfield Campus Research interest: Risk management, Capital Allocations, Optimal asset allocations and Backward Stochastic differential equations (utilise tools from Stochastic Calculus, Optimal Stochastic Control, Malliavin Calculus, Financial Mathematics and Financial Engineering) |
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Publications over the past five yearsJournal articles Mabitsela L, Maré E, Kufakunesu R Quantification of VaR: Note on VaR valuation in the South African equity market. Journal of Risk and Financial Management, (8)(2015), 103-126 Mabitsela L, Kufakunesu R, Guambe C A note on the representation of BSDE-based dynamic risk measures and dynamic capital allocations. To appear in Communication Statistics - Theory and Methods Guambe C, Mabitsela L, Kufakunesu R An Ergodic BSDE risk representation in a jump-diffusion framework. International Journal of Theoretical and Applied Finance 24(3)(2021) 2150015 |
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