John Weirstrass Muteba
John W Muteba Mwamba
Emails: [email protected] / [email protected] / [email protected]
Phone: +27115594371 / Cell: +27820887400
Location: Johannesburg, South Africa
Personal Website: www.analyticsresearch.net
University of Johannesburg – Johannesburg, South Africa
2009 – 2012: PhD Economics (with specialization in Financial Economics)
INSEAD Business School; Paris, France
Feb 2011 – July 2011: Visiting PhD Student in Decision Sciences and Choice over Time
Certificate in Decision Sciences
University of Johannesburg (UJ) -Johannesburg, South Africa
2007 – 2009: MCom Financial Economics
Institut Superieur De Statistique – Lubumbashi, D. R. Congo
1999 – 2001: BSc Honors Mathematical Statistics and Computer Programming
Institut Superieur De Statistique; Lubumbashi, D. R. Congo
1996 – 1999: BSc Mathematical Statistics
AWARD, RECOGNITION AND RESEARCH FUND OBTAINED
Best PhD Dissertation: 1st Place PhD Thesis for 2012 by ERSA (Economics Research Southern Africa)
Marquis Who’s Who in the world
2015 – 2018 University Research Fund (URC): ZAR 90000
2013 URC: ZAR 100000
Nov 2014 – Present: Associate Professor of Financial Economics; University of Johannesburg
Nov 2012 – Nov 2014: Senior Lecturer; University of Johannesburg
Sept 2009 – Nov 2012: Lecturer; University of Johannesburg
Apr 2008 – Sept 2009: Part-time lecturer at the Academic Development Centre (Doornfontein campus)
Coordinator of The Master’s Program in Financial Economics (UJ): 2014 – Present
Member of the Board of Directors of the AAAWE (Association for the Advancement of African Woman Economist) South Africa: 2015 – Present
Member of the Departmental Higher Degree Committee (UJ): 2013 – Present
Member Departmental Management Committee: 2013 – Present
Non-parametric financial econometrics (kernel regression) using R and JMulti packages;
Bayesian financial econometrics (MCMC and Gibbs Sampler) using R, Matlab and WinBUGS packages;
Financial Econometrics: univariate and vector autoregressive models, volatility (univariate, multivariate and Bayesian GARCH) models, Bayesian models, Markov switching models, neural networks;
Portfolio theory (the mean variance, CAPM, Black Litterman and Bayesian portfolio models) using R, WinBUGS, Eviews and Matlab packages;
Risk management (market, operational, credit, and liquidity risk models) using R, Matlab, and WinBUGS packages;
Advanced behavioral asset pricing and portfolio selection models: expected utility theory, rank dependent theory, prospect theory, cumulative prospect theory, and ambiguity theory.
Honors Level: Mathematical Economics
Undergraduate Level: Statistics for Economists
Systemic Risk: modeling bank (macroeconomic) systemic risks.
Risk Management: market, credit, operational, and liquidity risk modeling for capital requirement adequacy (Basel II, III) using extreme value distributions, copulas, Laplace transforms and fuzzy set theory.
Climate Change Risks: Modeling the impact of climate changes using behavioral models (prospect theory, and fuzzy set theory).
Portfolio Optimization: single and multi-objective models, genetic algorithm optimizations, nonlinear optimization.
Hedge Fund Investment: performance measurements of fund managersâ€™ skill, and hedge fund investment strategies selection.
Non-parametric Econometrics: univariate and multivariate kernel regression using R.
Financial Econometrics: linear, non-linear models, volatility models, time series models, categorical data models, panel data model.
Bayesian Statistics: Bayesian econometrics, and Bayesian portfolio optimization using Gibbs sampler.
Decision Sciences: decision theory and choice over time; cumulative prospect theory, rank dependent theory, and uncertainty using fuzzy set theory.
Insurance risk: solvency II and SAM, calibration of aggregated claim, ruin probability, climate change risk, and human lives at risk.
The Calibration of Market Risk Measures During Period of Economic Downturn: Market Risks and Measures (chapter 7) (2016). In Risk Management, Strategic Thinking and Leadership in the Financial Services Industry. ISBN: 978-3-319-47171-6. Edited by Dinçer, H. and Hacioğlu, Ü. Springer International Publishing. DOI: 10.1007/978-3-319-47172-3.
â€œComputation of Operational Value at Risk Using the Severity Distribution Model Based on Bayesian Method with Gibbs Sampler (chapter 8) (2016). In Risk Management, Strategic Thinking and Leadership in the Financial Services Industry. ISBN: 978-3-319-47171-6. Edited by Dinçer, H. and Hacioğlu, Ü. Springer International Publishing. DOI: 10.1007/978-3-319-47172-3.
Forthcoming Research Articles
“The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach.” (with Christophe Andre, Lumengo Bonga-Bonga and Rangan Gupta) Forthcoming in Journal of Real Estate Research.
“Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model.” (with Mehmet Balcilar, Mampho P. Modise and Rangan Gupta) Forthcoming in Frontiers in Finance and Economics.
“Performance evaluation of equity unit trusts in South Africa” (with Simo-Kegne, and Bonolo). Forthcoming in Managerial Finance journal.
“On The Protection of Investment Capital During Financial Crisis: A Risk-Based Asset Allocation Approach” (with Lamu Mantshimuli) Forthcoming in Economia International.
Under Review Research Articles
“Energy Demand in South Africa: Is it Asymmetric?” (with Roula Inglesi-Lotz and Rangan Gupta) (Submitted.)
“Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan Areas.” (with Christophe Andre and Rangan Gupta) (Submitted.)
“Is the drift and diffusion functions of the South Africa short-term interest rates linear?” (with Josine Uwilingiye, and Lethaba Theba) (Submitted).
Published Research Articles
“Do Basel III Higher Common Equity Capital Requirements Matter for Bank Risk-taking Behavior?”
African Development Review; Sept 2016; Volume 28, Issue 3, page 319 – 331. (with Sunday Adesina).
“Dynamic co-movements between housing and oil markets in the U.S over 1859 to 2013: A Note.”
Atlantic Economic Journal; 44; page 377 – 386. 2016. (with Nikolaos Antonakakis, and Rangan Gupta).
“Financial tail risks in conventional and Islamic stock markets: A comparative analysis.”
Pacific-Basin Finance Journal. In press Jan 2016 (with Hammoudeh, S., and Gupta, R.)
“Asymptotic tail probability for the discounted aggregate sums in a time dependent renewal risk model.”
South African Statistical Journal, Vol 49, issue 2, 2015 (with Adekambi, F.)
“The Effect of Probability and Uncertainty Models on Hedge Fund Performance Analysis”;
the Journal of Applied Business Research; Sept/Oct 2014, volume 30, number 5.
“Value at risk, minimum capital requirement and the use of extreme value distributions: an application to BRICS markets”, International Business and Economics Research Journal, Jan/Feb 2015; Vol. 14, number 1 (with Donovan Beytell)
“On The Persistence of Selectivity and Market Timing Skills in Hedge Fund”;
International Business & Economics Research Journal; Dec 2013, volume 12, number 12
“Implied volatility of foreign exchange options: A leading indicator for currency crisis identification”; African Journal of Business Management, Vol.6 (43), pp. 10766-10774, 31 Oct 2012. DOI: 10.5897/AJBM11.2798 (with Themba Majadibobu).
“On the optimality of hedge fund investment strategies: a Bayesian skew t distribution model”; African Journal of Business Management, Vol. 6 (36), pp. 10014 – 10024. 2012. DOI: 10.5897/AJBM11.2856
“The Role of Distribution and Volatility Specification in Value at Risk Estimation: Evidence from the Johannesburg Stock Exchange”; Journal of Economics and Financial Sciences, Vol. 5 (2) pp. 519 – 532 October 2012 (with Kruger Pretorius).
“Implementing a Robust Market Risk Model for South African Equity Markets: a peak-over threshold approach” South African Journal of Economics, Vol. 80(4) pp. 459 – 472. Dec. 2012;
“Modeling Stock Price behavior: The Kernel Approach”, Journal of economics and International Finance, Vol. 3(7), pp. 418- 423, Jul 2011.
“Applying a Genetic Algorithm to International Diversification of Equity Portfolios: A South African Investor Perspective”, South African Journal of Economics, Vol. 80.1 March 2012 (with Alain Kabundi)
“The Predictability of Stock Market Returns in South Africa: Parametric versus Nonparametric Methods”, South African Journal of Economics, Vol. 79:3 Sept 2011 (with Bonga Bonga).
“Predictability of Stock Price Behaviour in South Africa: A Non-parametric Approach”, African Finance Journal, Vol. 13.1, Jun 2011.
“Extreme Value at Risk: A Scenario for Risk Management”, South African Journal of Economics, Vol. 79:2, Jun 2011 (with Alain Kabundi).
PRESENTATIONS AT CONFERENCES AND WORKSHOPS
“The 10th EABIS- INSEAD colloquium: the role of business in development”; Oct 2011, Paris, France.
“The 32nd Annual International Symposium on Forecasting”, Jun 2012, Boston, Massachusetts, USA.
“The 19th International Business Research Conference”; Nov 2012; Monash University, Melbourne, Australia
“Forecasting Financial Market Conference”, May 2012, Marseille, France
“Computational Finance and Financial Engineering: The 7th R Finance/ Rmetric Summer School and workshop”; Jul 2013; Meielisalp; Lake Thune; Switzerland
“First Annual Financial Economics Workshop: Financial Economics and the Nexus of Growth, Stability, and Efficiency”; Dec 2013, Cape Town, South Africa
“The 11th African Finance Journal Conference”; 14-15 May 2014, Durban, South Africa
“The First Economic Theory Workshop”; Mar 2014, Cape Town, South Africa
“The Second Economic Theory Workshop”; 10-11 Nov 2014, Pretoria, South Africa
SUPERVISION OF MASTER’S STUDENTS
Mwambi Sutene, MCom financial economics: “An Alternative To Portfolio Selection: The Log-Optimal Growth Portfolio Model”; completed in 2010.
Majadibodu, Temba, MCom financial economics: “Implied Volatility Of Foreign Exchange Options, Does it Offer An Early Warning Signal To Currency Crisis Risk?”; completed in 2011.
Mokwena, Paula, MCom financial economics: “Portfolio Selection using Archimedean Copula Methods”; completed in 2012.
Mhlanga, Isaah, MCom financial economics: “Extreme conditional value-at-risk: a coherent scenario for risk management”; completed in 2012.
Pravina, Singh; “The effectiveness of bank bailouts in reducing stock market volatility during financial crises”; completed in 2013
Sandile, Dube, MCom Financial economics: “The Impact of exchange rate volatility on international trade between South Africa, China and USA: The case of the manufacturing Sector”; completed in 2014.
PhD STUDENTS UNDER MY SUPERVISION
Sunday Adesina, Kolade, University of Johannesburg
Topic of study: “Government intervention, bank performance and economic growth: evidence from African countries”
Alex Muzenda; University of Johannesburg
Topic of study: “Institutional quality, financial development and economic growth: the case of Southern African Development community”
Dumisa, Mango, University of KwaZulu Natal
Topic of study: “Analyzing challenges impeding the implementation of municipal strategies in Mpumalanga province: a study of Msukaligwa local municipality”
R, Matlab, WinBUGS, JMulti, Stata, Rats, Microsoft Office, Tanagra, Mathematica, SPSS, and Eviews
February 2009/March 2013
Ph.D Economics with Specialization in Financial Economics at University of Johannesburg
Associomicsate Professor in Financial Econ at University of Johannesburg
I started working with the company since 2007 until recently when I was promoted to the rank of Associate Professor.