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Social and Behavioral Sciences Commons

Open Access. Powered by Scholars. Published by Universities.®

Economics

2010

[ECUPub]

Articles 1 - 3 of 3

Full-Text Articles in Social and Behavioral Sciences

Caviar And The Australian Stock Markets : An Appetiser, David E. Allen, A. K. Singh Jan 2010

Caviar And The Australian Stock Markets : An Appetiser, David E. Allen, A. K. Singh

Research outputs pre 2011

Value-at-Risk (VaR) has become the universally accepted metric adopted internationally under the Basel Accords for banking industry internal control and for regulatory reporting. This has focused attention on methods of measuring, estimating and forecasting lower tail risk. One promising technique is Quantile Regression which holds the promise of efficiently calculating (VAR). To this end, Engle and Manganelli in (2004) developed their CAViaR model (Conditional Autoregressive Value at Risk). In this paper we apply their model to Australian Stock Market indices and a sample of stocks, and test the efficacy of four different specifications of the model in a set of …


Volatility And Correlations For Stock Markets In The Emerging Economies Of Central And Eastern Europe : Implications For European Investors, David E. Allen, A. Golab, Robert Powell Jan 2010

Volatility And Correlations For Stock Markets In The Emerging Economies Of Central And Eastern Europe : Implications For European Investors, David E. Allen, A. Golab, Robert Powell

Research outputs pre 2011

This paper examines the European investment implications of the recent European Union (EU) expansion to encompass former Eastern bloc economies. What are the risk and return characteristics of these markets pre- and post-EU? What are the implications for investors within the Euro zone? Should investors diversify outside the Central and Eastern Europe (CEE)? The former Eastern bloc economies constitute emerging markets which typically offer attractive risk-adjusted returns for international investors. In this paper, we explore a number of aspects of this important issue and their implications for CEE based investors, culminating in a Markowitz efficient frontier analysis of these markets …


Credit Risk And Real Capital : An Examination Of Swiss Banking Sector Default Risk Using Cvar, Robert J. Powell, David E. Allen Jan 2010

Credit Risk And Real Capital : An Examination Of Swiss Banking Sector Default Risk Using Cvar, Robert J. Powell, David E. Allen

Research outputs pre 2011

The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. In particular, capital adequacy has been called into question. Current capital requirements make no allowance for capital erosion caused by movements in the market value of assets. This paper examines default probabilities of Swiss banks under extreme conditions using structural modeling techniques. Conditional Value at Risk (CVaR) and conditional probability of default (CPD) techniques are used to measure capital erosion. Significant increase in probability of default (PD) is found during the GFC period. The market asset value based approach indicates a much higher PD than external …