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Using Quantile Regression to Estimate Capital Buffer Requirements for Japanese Banks
Allen, David; Powell, Robert; Singh, Abhay - 2010
This paper investigates the impact of extreme fluctuations in bank asset values on the capital adequacy and default probabilities (PD) of Japanese Banks. We apply quantile regression analysis to the Merton structural credit model to measure how capital adequacy and PDs fluctuate over a 10 year...
Persistent link: https://www.econbiz.de/10009440782
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Returns, Volatility, and Liquidity on the ASX
Allen, David; Cheng, Alexander Shu-Sing; … - 2008
Persistent link: https://www.econbiz.de/10009440849
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Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis
Allen, David; Singh, Abhay; Powell, Robert - 2009
Persistent link: https://www.econbiz.de/10009440854
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Returns, volatility, and liquidity on the ASX : undisclosed versus disclosed limit orders
Allen, David E.; Cheng, Alexander Shu-sing; … - In: Stock market liquidity : implications for market …, (pp. 227-245). 2008
Persistent link: https://www.econbiz.de/10003650538
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Returns, volatility and liquidity on the ASX : undisclosed vs. disclosed limit orders
Allen, David E.; Cheng, Alexander S.-S.; … - 2007
Persistent link: https://www.econbiz.de/10003414338
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Translating intentions to behavior : the interaction of network structure and behavioral intentions in understanding employee turnover
Vardaman, James M.; Taylor, Shannon G.; Allen, David G.; … - In: Organization science : a journal of the Institute for … 26 (2015) 4, pp. 1177-1191
Persistent link: https://www.econbiz.de/10011338190
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Tail risk for Australian emerging market entities
Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011
Persistent link: https://www.econbiz.de/10009410470
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Optimising a mining portfolio using CVaR
Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011
Persistent link: https://www.econbiz.de/10009410472
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A quantile analysis of default risk for speculative and emerging companies
Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011
Persistent link: https://www.econbiz.de/10009410475
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Comparing Australian and US corporate default risk using quantile regression
Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011
Persistent link: https://www.econbiz.de/10009410478