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Xtreme Credit Risk Models: Implications For Bank Capital Buffers, David E. Allen, Akhmad R. Kramadibrata, Robert J. Powell, Abhay K. Singh Jan 2011

Xtreme Credit Risk Models: Implications For Bank Capital Buffers, David E. Allen, Akhmad R. Kramadibrata, Robert J. Powell, Abhay K. Singh

Research outputs 2011

The Global Financial Crisis (GFC) highlighted the importance of measuring and understanding extreme credit risk. This paper applies Conditional Value at Risk (CVaR) techniques, traditionally used in the insurance industry to measure risk beyond a predetermined threshold, to four credit models. For each of the models we use both Historical and Monte Carlo Simulation methodology to create CVaR measurements. The four extreme models are derived from modifications to the Merton structural model (which we term Xtreme-S), the CreditMetrics Transition model (Xtreme-T), Quantile regression (Xtreme-Q), and the author’s own unique iTransition model (Xtreme-i) which incorporates industry factors into transition matrices. For …


Introduction To Special Issue: Globalisation And Economic Integration In East Asia, Paul De Grauwe, Zhaoyong Zhang Jan 2011

Introduction To Special Issue: Globalisation And Economic Integration In East Asia, Paul De Grauwe, Zhaoyong Zhang

Research outputs 2011

No abstract provided.


Are Estimates Of The Value Of A Statistical Life Exaggerated?, Chris Doucouliagos, T D Stanley, Margaret J. Giles Jan 2011

Are Estimates Of The Value Of A Statistical Life Exaggerated?, Chris Doucouliagos, T D Stanley, Margaret J. Giles

Research outputs 2011

The magnitude of the value of astatisticallife (VSL) is critical to the evaluation of many health and safety initiatives. To date, the large and rigorous VSL research literature has not explicitly accommodated publication selectivity bias (i.e., the reduced probability that insignificant or negative VSL values are reported). This study demonstrates that doing so is essential. For studies that employ hedonic wage equations to estimate VSL, correction for selection bias reduces the average value of astatisticallife by 70–80%. Our meta-regression analysis also identifies several sources for the wide heterogeneity found among reported VSL estimates.


Bank Risk: Does Size Matter?, David Allen, Akhmad R. Kramadibrata, Robert Powell, Abhay K. Singh Jan 2011

Bank Risk: Does Size Matter?, David Allen, Akhmad R. Kramadibrata, Robert Powell, Abhay K. Singh

Research outputs 2011

The size of banks is examined as a determinant of bank risk. A wide range of banks are examined across four regions, including Australia, Canada, Europe and the USA. Four risk metrics are considered including Value at Risk (VaR), Conditional Value at Risk (CVaR, which measures risk beyond VaR), Probability of Default (PD) using Merton structural methodology, and Conditional Probability of Default (CPD, the author’s own model which measures risk based on extreme asset value fluctuations. Daily equity and asset value fluctuations are included in the analysis, including pre-GFC and GFC periods. In addition to examining size in isolation as …