Add to ORKGThe link between credit risk and the current financial crisis accentuates the importance of measuring and predicting extreme credit risk. Conditional Value at Risk (CVaR) has become an increasingly popular method for measuring extreme market risk. We apply these CVaR techniques to the measurement of credit risk and compare the probability of default among Australian sectors prior to and during the financial crisis. An in depth understanding of sectoral risk is vital to Banks to ensure that there is not an overconcentration of credit risk in any sector. This paper demonstrates how CVaR methodology can be applied in different economic circumstances and provides Australian Banks with important insights into extreme sectoral credit risk leading...
Whilst the Australian economy is widely considered to have fared better than many of its global coun...
The Global Financial Crisis triggered a revision of the VaR based Basel II market risk framework to ...
The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. I...
Abstract: The link between credit risk and the current financial crisis accentuates the importance o...
Credit risk modelling has become increasingly important to Banks since the advent of Basel II which ...
Abstract: Comparing Australia and the U.S. both prior to and during the Global Financial Crisis (GFC...
This study focuses on the credit risk of Australian financial institutions relative to that of the U...
Relative industry sector risk is important to equities investors in determining portfolio mix, to ba...
Innovative transition matrix techniques are used to compare extreme credit risk for Australian and U...
Internal credit risk modelling is important for banks for the calculation of capital adequacy in ter...
Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an importa...
The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. I...
Background: In this paper the well-known risk measurement method Conditional Value-at-Risk (CVaR) is...
Value-at-risk has been broadly used in practice; however, it has some weaknesses. The most serious s...
The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. I...
Whilst the Australian economy is widely considered to have fared better than many of its global coun...
The Global Financial Crisis triggered a revision of the VaR based Basel II market risk framework to ...
The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. I...
Abstract: The link between credit risk and the current financial crisis accentuates the importance o...
Credit risk modelling has become increasingly important to Banks since the advent of Basel II which ...
Abstract: Comparing Australia and the U.S. both prior to and during the Global Financial Crisis (GFC...
This study focuses on the credit risk of Australian financial institutions relative to that of the U...
Relative industry sector risk is important to equities investors in determining portfolio mix, to ba...
Innovative transition matrix techniques are used to compare extreme credit risk for Australian and U...
Internal credit risk modelling is important for banks for the calculation of capital adequacy in ter...
Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an importa...
The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. I...
Background: In this paper the well-known risk measurement method Conditional Value-at-Risk (CVaR) is...
Value-at-risk has been broadly used in practice; however, it has some weaknesses. The most serious s...
The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. I...
Whilst the Australian economy is widely considered to have fared better than many of its global coun...
The Global Financial Crisis triggered a revision of the VaR based Basel II market risk framework to ...
The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. I...