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Articles 1 - 6 of 6
Full-Text Articles in Entire DC Network
Xtreme Credit Risk Models: Implications For Bank Capital Buffers, David E. Allen, Akhmad R. Kramadibrata, Robert J. Powell, Abhay K. Singh
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
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
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
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 …
Using Ordinary Least Squares Regression And Quantile Regression To Test The Capital Asset Pricing Model And The Fama And French Model In The Australian Equity Market, Yixaun Rui
Theses : Honours
Many studies have tested the CAPM and the Fama and French model in the Australian security market using the Ordinary Least Squares (OLS) method. However, this regression method just focuses on the relationship between means in the dataset, and equity market usually has some extreme situations in the tails. In this study, quantile regression will be used as well as OLS to provide a more comprehensive picture. This research will also compare the domestic and overseas indices in testing the CAPM and the Fama and French model. A twenty-year data sample composed of the 50 largest companies' equity returns will …
How Short And Long Term Interdependencies Have Changed Due To The Global Financial Crisis, Lungowe Andala
How Short And Long Term Interdependencies Have Changed Due To The Global Financial Crisis, Lungowe Andala
Theses : Honours
This study investigates how short and long term interdependencies have changed among ten countries grouped into countries from the same region (close geographical proximity) as a result of the recent Global Financial Crisis. A number of econometrics methodologies are employed in doing the analysis. Johansen's cointegration methodology is carried out to assess whether the stock markets have long run interdependencies and whether these interdependencies have changed as a result of the Global Financial Crisis. For the stock markets not cointegrated Granger Causality is carried out to analyze short run interdependencies between pairs of stock markets. Furthermore, generalized Impulse Response Function …