This paper presents empirical evidence on the effectiveness of eight different parametric ARCH models in describing daily stock returns. Twenty-seven years of UK daily data on a broad-based value weighted stock index are investigated for the period 1971-97. Several interesting results are...

We present an empirical model of systemic banking crises from an Australian perspective. Having no history of domestic banking crises in recent history, our quantitative model is estimated using an international panel data set spanning 18 countries and 30 years of observations. We evaluate in a...

This paper develops, analyses and implements an early warning tool for systemic risk in banks and financial entities. The tool is based on a refined approach to stress testing. Calculations performed on Australian bank data are shown to predict past distress. Risk is measured as a function of...

SRISK methodology recently proposed in the literature is refined and extended. The refinement is to define systemic risk using a formalised stress testing framework including a stress function. Baseline risk and the stress risk are in terms of the ordinary and stressed expectation. Stressed...

We study correlations between the national REIT markets in the US and the four Asia-Pacific countries of Australia, Hong Kong, Japan and Singapore, and document the extent to which the time variation present in these correlations can be explained from a set of economic and financial factors....

This paper explores the relationship between the Australian real estate andequity market between 1980 and 1999. The results from this study showthree specific outcomes that extend the current literature on real estatefinance. First, it is shown that structural shifts in stock and property...

It is well known that Cholesky decomposition will compress the tails in a multivariate probability mass. With significantly skewed or highly kurtotic distributions, this tail compression can be quite severe. In this paper, a simple methodology is presented to generate multivariate systems...

Numerous studies have shown that international diversification across global equity markets can lead to improved performance on a risk adjusted basis when compared to investing in domestic equity markets. Early studies provided empirical evidence that country and industry effects were important...

In this paper we present a simple approach of incorporating a Value at Risk (VAR) constraint to tactical asset allocation (TAA). We outline a dynamic VAR TAA strategy which is useful in controlling the risk and expected losses of any balanced product. From our results it is evident that...

This study presents further evidence on the predictability of excess Equity Reit returns. Recent evidence on forecasting excess returns using fundamental variables has resulted in poor out of sample performance. Trading strategies based upon these forecasts have not outperformed the buy hold...