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Risk and Dependence Analysis of Australian Stock Market - The Case of Extreme Value Theory
Singh, Abhay Kumar - 2013
The quantification of risk and dependence are major components of financial risk modelling. Financial risk modelling frequenty uses the assumption of a normal distribution when considereing the return series which makes modelling easy but is inefficient if the data is not normally distributed or...
Persistent link: https://www.econbiz.de/10013090357
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Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective
Allen, David E.; Powell, Robert - In: The VaR implementation handbook, (pp. 403-414). 2009
Persistent link: https://www.econbiz.de/10003827094
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Transitional credit modelling and its relationship to market value at risk : an Australian sectoral perspective
Allen, David E.; Powell, Robert - In: Accounting and finance : journal of the Accounting … 49 (2009) 3, pp. 425-444
Persistent link: https://www.econbiz.de/10003889276
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The fluctuating default risk of Australian banks
Allen, David E.; Powell, Robert - In: Australian journal of management 37 (2012) 2, pp. 297-325
Persistent link: https://www.econbiz.de/10009630156
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CAViaR and the Australian stock markets : an appetiser
Allen, David E.; Singh, Abhay Kumar - 2010
Persistent link: https://www.econbiz.de/10008760322
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The fluctuating default risk of Australian banks
Allen, David E.; Powell, Robert - 2010
Persistent link: https://www.econbiz.de/10008760323
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Tail risk for Australian emerging market entities
Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011
Persistent link: https://www.econbiz.de/10009410470
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Optimising a mining portfolio using CVaR
Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011
Persistent link: https://www.econbiz.de/10009410472
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Peas in a pod : Canadian and Australian banks before and during a Global Financial Crisis
Allen, David E.; Boffey, R. R.; Powell, Robert - 2011
Persistent link: https://www.econbiz.de/10009410482
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Industry market value at risk in Australia
Allen, David E. (contributor); Powell, Robert (contributor) - 2007
Persistent link: https://www.econbiz.de/10003477132