Prof WJ (Willie) Conradie

Chairperson of the Departement

Associate Professor

University of Stellenbosch

Private Bag X1, Matieland

7602, South Africa

Tel:         +(27) 21 808 3247

Fax:        +(27) 21 808 3830

e-mail:     wjc@sun.ac.za

Obtained a Ph.D in 1981 at the University of Cape Town in the Department of Mathematical Statistics. The title of the thesis was "Aspects of multivariate complex quadratic forms", with promoter professor Cas Troskie and external examiners professors AK Gupta (Bowling Green State University, Ohio) and Nico Crowther (University of Pretoria). Obtained the MCom in Mathematical Statistics in 1977 at the University of Stellenbosch. Receiver of the Rector's Award for Excellent Training in 1995. 

Present Teaching Subjects

Theory of Interest 152

Financial risk management 314

Financial risk management (Honours)

Credit derivative instruments (Masters)

Present Research Interests

Financial Risk Management

Categorical Data Analysis

Data Mining

Multivariate Distribution Theory

Visiting appointments or Scholarships

2003:  Guest Professor in the University Centre for Statistics, Katholieke Universiteit Leuven, Belgium. Financial Risk Management - International Study Program in Statistics (Master of Statistics).

Publications

• Conradie, W.J. and Troskie, C.G. (1982). Calculations of coefficients appearing in expansions of zonal plynomials of hermition matrices.  S. Afr. Statist. J., vol 16, 113-131.

• Conradie, W.J. and Troskie, C.G. (1984). The exact non-central distribution of a multivariate complex quadratic form of complex normal variates.  S. Afr. Statist. J., vol 18, 123-134.

• Troskie, C.G. and Conradie, W.J. (1986). The distribution of the ratios of characteristic roots (condition numbers) and their applications in principle component or ridge regression.  Linear Algebra and its Applications, 82: 255-279.

• Conradie, W.J. and Gupta, A.K. (1987). Quadratic forms in complex normal variates: Basic Results.  Statistica, anno XLVII, n.l, 73-84.

• Laubscher, J., Kassier, W.E., Conradie, W.J. (1991). Faktore wat die vergoeding van Plaas-bestuurders beïnvloed.  Agrekon, Vol. 30, No. 1, 29-33.

• Marais, D.J., Smit, E.v.d.M., Conradie, W.J. (1996). Micro-level tests for rational expectations in South Africa. Chapter in Beiträge zur angewandten Wirtschaftsforschung, Festschrift für Karl Heinrich Oppenlander. Duncker  Humblot. Berlin 1996, 295-318.

• Marais, D.J., Smit, E.v.d.M., Conradie, W.J. (1997). Expectation Formation Process: Some Emperical Evidence from survey Data.  Studies in Economics and Econometrics, Vol 21, No 1, 75-89.

• Marais, D.J., Smit, E.v.d.M., Conradie, W.J. (1997). Micro-level tests for rational expectations in South Africa. S.Afr.J.Bus.Manage.28(1),15-26.

• Marais, D.J., Smit, E.v.d.M., Conradie, W.J. (1997). Production and Price Flexibility with Stock Adjustment: South African Evidence from Survey Data.  Social and Structural Change - Consequences for Business Cycle Surveys. Selected papers presented at the 23rd Ciret conference, Helsinki 1997.

• Conradie, W.J. (1999). Assigning scores when modelling ordinal data. S. Afr. Statist. J., vol 33, No. 2, 187-204.

• Van Vuuren, J.O. and Conradie W.J. (2000). Diagnostics and plots for identifying collinearity-influential observations and for classifying multivariate outliers. S. Afr. Statist. J., vol 34, No. 2.

• Conradie, W. J, De Wet, T and Jankowitz, M (2005). An Overiew of LULU smoothers with Application to Financial Data. J. Stud. Econom. Econometrics 29 (1) (2005) 97-121.

• Conradie, W. J, De Wet, T and Jankowitz, M (2006). Exact and Asymptotic distributions of LULU Smoothers. Journal of Computational and Applied Mathematics, 186, 253-267.

• Du Toit, C and Conradie W.J. (2006). A realised volatility measurement using quadratic variation and dealing with microstructure effects. ORiOn vol 22 (2), 117-129. Download

• Conradie, W.J., T de Wet and M. D. Jankowitz (2009) Performance of nonlinear smoothers in Signal Recovery. Applied Stochastic Models in Business and Industry 25: 425-444. Download

Research Reports

• Conradie, W.J. and Gupta, A.K. (1989). The max trace ratio test for the hypothesis of equality of covariance matrices when the mean vectors follow a linear trend.  Technical Report No. 89-100, Department of Mathematics a Statistics, Bowling Green State University, Bowling Green, OHIO, USA

• Conradie, W.J. and Gupta, A.K. (1989). Nonnull distributions of four criteria for MANOVA in the complex case.  Technical Report No. 89 - 11, Department of Mathematics and Statistics, Bowling Green State University, Bowling Green, OHIO, USA

• Conradie, W.J. and de Wet, T. (2003). LULU Smoothers and their Statistical Properties. Technical Report 03/01, Department of Statistics and Actuarial Science, University of Stellenbosch, South Africa. View

Conferences

• Kumulatiewe verdelingsfunksies van die karakteristieke wortels van Hermitiese matriksvariate (With Prof. C.G. Troskie van U.K.) – 24th Annual conference of SASA, 1981

• 'n Toets vir die gelykheid van kovariansie matrikse (With Prof. A.K Gupta of the U.S.A.) - 29th Annual conference of SASA, 1986

• Kwadratiese vorme van reële en komplekse normaal stogastiese veranderlikes: Wat is die verskil? - 30th Annual conference of SASA, 1987

• Die Gebruik van die rekenaar in die onderrig van Statistiek in die Departement Statistiek aan die US - 33th Annual conference of SASA, 1990

• Die Toekenning van Kategorietellings in die Modellering van Ordinale Data - 36th Annual conference of SASA, 1993

• Modellering van Kategoriese data met Nie-Ignoreerbare Ontbrekende Waarnemings - 37th Annual conference of SASA, 1994

• The challenge of being Statistician and promoting Statistics to the end of the century – Presidential address, 38th Annual conference of SASA, 1995

• Assigning of scores when modelling ordinal data. Joint Statistical Meetings, Chicago, ILLINOIS, 1996

• Statistiese metodes in die Stralingswetenskappe. Uitgenooi om winterskool aan te bied by die 37ste jaarlikse kongres van die Suid Afrikaanse Vereniging van Fisici in Geneeskunde en Biologie, Kaapstad, 3 Junie 1997

• Herhaalde kategoriese respons waarnemings-die ''GEE'' benadering toegepas met SAS 6.12 (With J.H.M. Lochner). 40th Annual conference of SASA, 1997

• Diagnosing Collinearity - Influential Observations By means of Leverage and Partial Leverage values (With J O Van Vuuren) 41st Annual conference of SASA, 1998

• New Diagnostics and Plots for identifying and classifying Collinearity - Influential Observations (With J O Van Vuuren) 41st Annual conference of SASA, 1998

• The analysis of repeated measurements using the proportional odds model. (With J.H.M. Lochner) 42nd Annual conference of SASA, 1999

• The Statistics behind Enterprise Miner of SAS. (With C.J.B. Muller) 43rd Annual conference of SASA, 2000

• LULU Smoothers and Some Applications to Financial Time Series. (With T de Wet)  44th Annual conference of SASA, 2001.

• LULU smoothers and their statistical properties. 24th European Meeting of Statisticians, Prague, 19-23 August 2002. (with T de Wet).

• The statistical properties of LULU smoothers. 45th Annual conference of SASA, UNISA, 2002. (with T de Wet).

• Simulating fat tail distributions and their application in financial risk management. (with T de Wet) 1st Conference on Simulation in Industry and Services. EHSAL, Brussels, Belgium. December 2003.

• LULU Smoothers and Some of their Distributional Properties. (with T De Wet (give talk) 3rd International Symposium on Extreme Value Analysis: Theory and Practice. Portugal.

• The class of order statistic based non-linear smoothers. (with met M Jankowitz (give talk) en T de Wet) 47ste Jaarkonferensie van die Suid-Afrikaanse Statistiese vereniging, UV, Bloemfontein, 2004.

• LULU non linear smoothers and their handling of variation in a Time Series. (with M Jankowitz and T de Wet) 47ste Jaarkonferensie van die Suid-Afrikaanse Statistiese vereniging, UV, Bloemfontein, 2004.

• Some Distributional Properties of LULU Smoothers. (with M Jankowitz and T de Wet (give talk)) 47ste Jaarkonferensie van die Suid-Afrikaanse Statistiese vereniging, UV, Bloemfontein, 2004.

• Data: "missing in action" ... searching for a pattern: Application of a Random effects Pattern-mixture Model (Saam met M Muller (gee lesing), C Lombard en A Fisher) 47ste Jaarkonferensie van die Suid-Afrikaanse Statistiese vereniging, UV, Bloemfontein, 2004.

• Die toepassing van LULU-gladstrykers op finansiële tydreekse. (Saam met M Jankowitz (gee lesing) en T de Wet) Die Suid-Afrikaanse Akademie vir Wetenskap en Kuns - Studentesimposium, Stellenbosch, 2004.

• LULU smoothers: Their Distributional and Variation Properties. (Saam met M Jankowitz en T de Wet) 55th Session of the International Statistical Institute in Sydney, 5-12 April 2005

• Non-linear (LULU) smoothers for Time Series Data (uitnodigingslesing). (Saam met M Jankowitz (gee lesing) en T de Wet) Fourth International Symposium on Business and Industrial Statistics in Cairns, 14 -16 April 2005.

• Realized Volatility: An Overview. (Saam met Cornel Du Toit) Mathematics in Finance Conference in Berg en Dal, Kruger Park, 7 - 12 Augustus 2005.

• A Realised Volatility Measurement Using Quadratic Variation Handling Microstructure Effects. (Saam met Cornel Du Toit (gee lesing)) Mathematics in Finance Conference in Berg en Dal, Kruger Park, 7 - 12 Augustus 2005.

• A Realised Volatility Measurement Using Quadratic Variation Handling Microstructure Effects (Saam met Cornel Du Toit) 48ste Jaarkonferensie van die Suid-Afrikaanse Statistiese vereniging, Universiteit van Rhodes, Grahamstad, 2005.

• Signal recovery with LULU smoothers (Saam met M Jankowitz (gee lesing) en T de Wet) 48ste Jaarkonferensie van die Suid-Afrikaanse Statistiese vereniging, Universiteit van Rhodes, Grahamstad, 2005.

• A Realised Volatility Measurement Using Quadratic Variation Handling Microstructure Effects (Saam met Cornel Du Toit) 17th COMPSTAT Symposium of the IASC. Rome, Italië, 2006.

• Smoothing special functions - Blocks, Bumps, heavisine and Doppler (Saam met M Jankowitz (gee lesing) en T de Wet) 49ste Jaarkonferensie van die Suid-Afrikaanse Statistiese vereniging, Universiteit van Stellenbosch, Stellenbosch, 2006.

• Performance of LULU nonlinear smoothers in signal recovery (Saam met M Jankowitz (gee lesing) en T de Wet) Sixthth International Symposium on Business and Industrial Statistics in Porto, Augustus 2007.

• LULU Smoothers An Overview (Saam met M Jankowitz en T de Wet) 50ste Jaarkonferensie van die Suid-Afrikaanse Statistiese Vereniging, Misty Hills, Johannesburg, 2007.

• Practical applications of LULU smoothers (Saam met M Jankowitz (gee lesing) en T de Wet) 50ste Jaarkonferensie van die Suid-Afrikaanse Statistiese Vereniging, Misty Hills, Johannesburg, 2007.

• A Comparative study of LULU and Median smoothers in the recovery of signals (Saam met M Jankowitz en T de Wet) International Conference on Multivariate Statistical Modelling & High Dimensional Data Mining in Kayseri, Turkye, 19 -- 23 Junie 2008.

• Smoothing spatially variable functions using nonlinear smoothers (Saam met M Jankowitz (gee lesing) en T de Wet) International Symposium on Business and Industrial Statistis in Praag, 2 -- 4 Julie 2008.

• Liquidity adjusted VaR models: Theoretical Concepts (Saam met Jonathan Beattie) Mathematics in Finance Conference in Berg en Dal, Kruger Park, 1 - 6 September 2008.

• Liquidity adjusted VaR models: Practical illustrations (Saam met Jonathan Beattie (gee lesing)) Mathematics in Finance Conference in Berg en Dal, Kruger Park, 1 - 6 September 2008.

   

Books

• Schumann, D.E.W., Schoeman, A., Conradie, W.J. (1991). Elementêre Renterekening.  Juta & Kie, Bpk.

• Conradie, W.J., Schoeman, A. (1998). Renterekening met Finansiële Sakrekenaars.  Universiteit Stellenbosch Drukkery.

• Conradie W.J and Schoeman A. (1999). Calculating Interest with Financial Calculators.  University of Stellenbosch Printers, 1999.

National and International Societies

• Member of the South African Statistical Association (SASA) since 1975

• Co-Editor: South African Statistical Journal, 1985-1988

• Member of the Education Committee of SASA 1998-1994 and chairman of this committee 1994

• Member of the Executive Committee of SASA, 1992 – 1996

• VICE-PRESIDENT of SASA 1994

• PRESIDENT of SASA 1995

• Referee for SASJ

• Member of the American Statistical Association since 1993

• Member of Committee on International Relations of the American Statistical Association for 1998 - 2000, 2000 – 2002

• Ellected Fellow of the South African Statistical Association 2000

Consulting

• A number of Masters and PhD students of the University of Stellenbosch during the past 20 years

• Die implikasies van leerstylverskeidenheid vir effektiewe tersiêre onderwys aan studente in huishoudkunde, (HRSC-RESEARCH). Clients: Proff. E.M. Visser and T. Park (1991)

• Acted as Statistical consultant for

  • Institute for Maritime Technology (With Prof N.J. Le Roux) (1984)

  • Nationalonal Manpower Commission (With Prof A. Schoeman) (1985)

  • Marketing Department of Santam Beperk Limited (1995)

  • Sanlam Health (1997)

  • Associated Automotive Distributors (PTY.) LTD. (1997-1998)

  • Nasionale Media Bpk. (1997-1998)

  • Maritime Education Research and Information Technology (PTY.) LTD. (1999)

  • Dynamar Consulting BV Maritime and Transport Consulting (1999)

  • SAMILCO (2000)

  • Heritage Collection Holdings Ltd. (2001)

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