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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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Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
Allen, David E.; Powell, R. J.; Singh, Abhay Kumar - In: European journal of operational research : EJOR 249 (2016) 2, pp. 465-475
Persistent link: https://www.econbiz.de/10011436713
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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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CVaR and credit risk measurement
Powell, Robert; Allen, David E. - 2009
Persistent link: https://www.econbiz.de/10008667291
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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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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009701642
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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009744769
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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - In: The North American journal of economics and finance : a … 26 (2013), pp. 217-226
Persistent link: https://www.econbiz.de/10010365773
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A capital adequacy buffer model
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10010354388