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

Business Commons

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

Edith Cowan University

Series

2011

Probability of Default

Articles 1 - 2 of 2

Full-Text Articles in Business

Peas In A Pod: Canadian And Australian Banks Before And During A Global Financial Crisis, David Allen, Ray Boffey, Robert Powell Jan 2011

Peas In A Pod: Canadian And Australian Banks Before And During A Global Financial Crisis, David Allen, Ray Boffey, Robert Powell

Research outputs 2011

In the aftermath of the Global Financial Crisis (GFC), the Canadian and Australian banking systems have been singled out by some commentators as having performed better than many other banking systems, particularly those in Europe, America and the United Kingdom. Banks in both Canada and Australia, for instance, have continued to report enviable earnings, sound capital levels, and high credit ratings both before and during the GFC. The G-20 and the European Union have tried to identify the features of the Canadian and Australian financial systems which have underpinned this success in order to use them in shaping a revised …


Comparing Australian And Us Corporate Default Risk Using Quantile Regression, David E. Allen, Akhmad R. Kramadibrata, Robert J. Powell, Abhay K. Singh Jan 2011

Comparing Australian And Us Corporate Default Risk Using Quantile Regression, David E. Allen, Akhmad R. Kramadibrata, Robert J. Powell, Abhay K. Singh

Research outputs 2011

The severe bank stresses of the Global Financial Crisis (GFC) have underlined the importance of understanding and measuring extreme credit risk. The Australian economy is widely considered to have fared much better than the US and most other major world economies. This paper applies quantile regression and Monte Carlo simulation to the Merton structural credit model to investigate the impact of extreme asset value fluctuations on default probabilities of Australian companies in comparison to the USA. Quantile regression allows modelling of the extreme quantiles of a distribution which allows measurement of capital and PDs at the most extreme points of …