Author

Henry Mayambu

Observed institution: WorldQuant Foundation

ORCID: 0009-0007-8475-2558

Observed ORCID: 0009-0007-8475-2558

OpenAlex ID: A5139659749

Mobile Money Adoption and Financial Inclusion in Zambia: Evidence and Policy Implications

2026 · Henry Mayambu · SSRN Electronic Journal

Forecasting ZAR/USD Volatility: A Comparative Study of GARCH, Stochastic Volatility, and Machine Learning Models in an Emerging Market Context

2026 · Henry Mayambu · SSRN Electronic Journal

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Why Estimation Error Breaks Portfolios and How Shrinkage Fixes It

2026 · Henry Mayambu · SSRN Electronic Journal

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Environmental, Social, and Governance (ESG) Investing and Financial Performance: Evidence from South African Mining Companies: A Panel Data Analysis

2026 · Henry Mayambu · SSRN Electronic Journal

Bayesian Networks for Financial Risk Management: An Illustrative Implementation with pgmpy

2026 · Henry Mayambu · SSRN Electronic Journal

The Impact of ESG Performance on Firm Performance: Evidence from JSE Mining Companies (2019-2023)

2026 · Henry Mayambu · SSRN Electronic Journal

Structural Learning of Financial Dependency Networks: Integrating Chow-Liu and K2 Algorithms for Systemic Risk and Portfolio Modeling

2026 · Henry Mayambu · SSRN Electronic Journal

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Evolving the Basel Framework: A Critical Justification of Climate-Extended Risk Models Over Traditional Vasicek and Merton Architectures

2026 · Henry Mayambu · SSRN Electronic Journal

Rethinking Portfolio Risk Management: Beyond Frequentism and Econophysics to Causal Bayesian Stress Testing

2026 · Henry Mayambu · SSRN Electronic Journal

Methodological Overview: Supervised, Unsupervised, Stochastic, and Agent-Based Approaches in Financial Economics

2026 · Henry Mayambu · SSRN Electronic Journal

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Advanced Portfolio Optimization: Integrating Classical Frameworks with Machine Learning and Modern Asset Allocation

2026 · Henry Mayambu · Research Square

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Advanced Stochastic Modeling and Reinforcement Learning in Modern Quantitative Finance

2026 · Henry Mayambu · SSRN Electronic Journal

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Evolving the Basel Framework: A Climate-Extended Merton-Vasicek Architecture with Illustrative Application to South African Mining

2026 · Henry Mayambu · SSRN Electronic Journal

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Comparison of Asset Pricing Models: CAPM, Fama-French and Carhart Models

2026 · Henry Mayambu · SSRN Electronic Journal

Factor Investing with Climate: Engineer a "Climate-Resilient" Factor Portfolio for JSE

2026 · Henry Mayambu · SSRN Electronic Journal

Pricing European Options under Jump-Diffusion and Stochastic Volatility Frameworks: An Application of Alan Lewis's (2001) Fourier-Transform Approach to the Merton Model

2026 · Henry Mayambu · SSRN Electronic Journal

Macroeconomic Stress Testing of Sovereign Debt: Assessing the Impact of Interest Rate Shocks and Currency Depreciation on South Africa's National Portfolio Stability

2026 · Henry Mayambu · SSRN Electronic Journal

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Network Analysis of Systemic Financial Risk: Modeling Bank-to-Bank Contagion Channels using Interbank Liability Networks to Identify Systemically Important Financial Institutions (SIFIs)

2026 · Henry Mayambu · SSRN Electronic Journal

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Liquidity Risk Modeling: Assessing Systemic Funding Liquidity Shocks in Fixed-Income Portfolios During Macroeconomic Downturns

2026 · Henry Mayambu · SSRN Electronic Journal

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Forecasting ZMW/USD Volatility: Does the ZAR Volatility Framework Transfer to Zambia? A Comparative Study of GARCH, Stochastic Volatility, and Machine Learning Models in an Emerging Market Context

2026 · Henry Mayambu · SSRN Electronic Journal

Greenwashing or Real Risk Mitigation? A Causal Bayesian Analysis of ESG Disclosure and Downside Risk in South African Mining Firms Listed on the JSE

2026 · Henry Mayambu · SSRN Electronic Journal

Dynamic Asset Allocation: Implementing Robust Portfolio Optimization Techniques using Conditional Value-at-Risk (CVaR) under Non-Normal Return Distributions

2026 · Henry Mayambu · SSRN Electronic Journal

Machine Learning Applications in Yield Curve Fitting and Arbitrage Strategies

2026 · Henry Mayambu · SSRN Electronic Journal

From Materiality to Contagion: Modeling ESG Risk Spillovers across the Johannesburg Stock Exchange with Directed Causal Networks

2026 · Henry Mayambu · SSRN Electronic Journal

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Tail Risk Hedging in Equity Portfolios: Evaluating the Cost-Effectiveness of Out-of-the-Money Put Options versus Dynamic Tail-Risk Mitigation Strategies During High-Volatility Regimes

2026 · Henry Mayambu · SSRN Electronic Journal

Works count: 34

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