Allen, David E; Kramadibrata, Akhmad R.; Powell, R. J.; … - School of Business, Edith Cowan University - 2011
&P/ASX 200 Index using four risk metrics. The first two are Value at Risk (VaR) and Distance to Default (DD), which are … Conditional Value at Risk (CVaR) and Conditional Distance to Default (CDD), the latter metric being unique to the authors, and …