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A capital adequacy buffer model

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

Persistent link: https://www.econbiz.de/10010224793

A closer look at the characteristics of stock holdings of foreign and local investors in the Indonesian stock exchange (IDX)

Sudiman, Josephine; Allen, David E.; Powell, Robert - In: Annals of financial economics 8 (2013) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10010192087

The contribution of foreign investors to price discovery in the Indonesian stock exchange

Sudiman, Josephine; Allen, David E.; Powell, Robert - In: Annals of financial economics 8 (2013) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10010250271

Credit risk and real capital : an examination of Swiss banking sector default risk using CVaR

Powell, Robert; Allen, David E. - 2010

Persistent link: https://www.econbiz.de/10008760320

The fluctuating default risk of Australian banks

Allen, David E.; Powell, Robert - 2010

Persistent link: https://www.econbiz.de/10008760323

Customers and markets : both are essential to credit-risk measurement in Australian banks

Allen, David E.; Powell, Robert - In: Australasian accounting business and finance journal : AABF 5 (2011) 1, pp. 57-75

Persistent link: https://www.econbiz.de/10009295410

Aspects of volatility and correlations in European emerging economies

Golab, Anna; Allen, David E.; Powell, Robert - In: Emerging markets and sovereign risk, (pp. 59-80). 2015

Persistent link: https://www.econbiz.de/10010458449

Volatility and spillover effects of Central and Eastern Europe : impact of EU enlargement

Golab, A.; Allen, David E.; Powell, Robert; Yap, G. - In: Emerging markets and the global economy, (pp. 449-482). 2014

Persistent link: https://www.econbiz.de/10010434635

Structural credit modelling and its relationship to market value at risk : an Australian sectoral perspective

Allen, David E. (contributor); Powell, Robert (contributor) - 2008

Persistent link: https://www.econbiz.de/10003759999

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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