The study of Naifar (2011) was the first to investigate the nonlinear relationship between credit default swaps and stock market conditions in Australia. This study was a major contribution to the literature, and set the scene for further investigation. In 2008, the global financial crisis hit...

Appropriate modelling of loan default correlation is a prerequisite for effective credit risk management. In this study we provide an insight into the use of the copula functions, particularly addressing the key question of why the Gaussian copula approach failed to detect the high loan default...

We consider two random vectors X and Y, such that the components of X are dominated in the convex order by the corresponding components of Y. We want to find conditions under which this implies that any positive linear combination of the components of X is dominated in the convex order by the...