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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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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
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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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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724823
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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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A Quantile Monte Carlo approach to measuring extreme credit risk
Allen, David E.; Boffey, R. R.; Powell, Robert - 2011
We apply a novel Quantile Monte Carlo (QMC) model to measure extreme risk of various European industrial sectors both prior to and during the Global Financial Crisis (GFC). The QMC model involves an application of Monte Carlo Simulation and Quantile Regression techniques to the Merton structural...
Persistent link: https://www.econbiz.de/10009410481
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The Fluctuating Default Risk of Australian Banks
Allen, David E. - 2012
that, during the Global Financial Crisis, based on extreme asset value fluctuations, Australian bank default probabilities …
Persistent link: https://www.econbiz.de/10013102753
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A Quantile Monte Carlo Approach to Measuring Extreme Credit Risk
Allen, David E. - 2012
We apply a novel Quantile Monte Carlo (QMC) model to measure extreme risk of various European industrial sectors both prior to and during the Global Financial Crisis (GFC). The QMC model involves an application of Monte Carlo Simulation and Quantile Regression techniques to the Merton structural...
Persistent link: https://www.econbiz.de/10013113757