- 2022 challenges being updated…
March 2023 M T W T F S S 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31
Latest Activities (Strava)
- Tuesday snooze (not)On March 21, 2023 6:32 am went 15.94 km during 01:33:03 hours climbing 164.00 meters burning 1,447 calories.
- Dancing in the rain with BS, GD & SGOn March 20, 2023 7:03 am went 10.21 km during 00:57:48 hours climbing 150.00 meters burning 920 calories.
- Brad’s Vlakkenberg loop with BS & SGOn March 18, 2023 6:49 am went 25.33 km during 04:42:19 hours climbing 1,685.00 meters burning 3,171 calories.
- Tuesday snooze (not)
Category Archives: Risk management
Rule 18f-4 (SEC, Use of Derivatives)
The below is copied from the SEC website. Limits on Value-at-Risk (VaR) Any appropriate VaR methodology VaR methodology adopted should account for equity price risk, interest rate risk, credit (spread) risk, (foreign) currency risk, etc. Modelling should account for non-linear … Continue reading
We usually think of volatility as the standard deviation of a series, e.g. price returns however while this applies to historic volatility (ex-post) what do we do when it comes to addressing expected volatility (ex-ante)? Three types of models: -local … Continue reading
South African Hedge Fund (BN52) Guidelines
South African Hedge Funds’ from a regulatory perspective can be split into two: QIHF – Qualified Investor Hedge Funds RIHF – Retail Investor Hedge Funds As a RIHF is more onerous we will focus on this regulation. Borrowing/Repurchases A Fund … Continue reading
The below is copied from the Financial Engineer website. Liquid Securities only 0% Exposure to Commodities 0% Exposure to Property / Real Estate 0% Exposure to Private Equity 0% Exposure to illiquid securities Risk Management VaR of a fund cannot … Continue reading
Futuregrowth’s SOE Governance Unmasked article
Below is a link to the article from Futuregrowth Asset Management on governance issues at South African State Owned Enterprises (SOE). From the Futuregrowth website… “… This followed a creeping sense of governance degradation at various SOEs, culminating in clear … Continue reading