Allen, D.E.; Kramadibrata, A.R.; Powell, R.J.; Singh, A.K. - In: Mathematics and Computers in Simulation (MATCOM) 93 (2013) C, pp. 67-75
Innovative transition matrix techniques are used to compare extreme credit risk for Australian and US companies both prior to and during the global financial crisis (GFC). Transition matrix methodology is traditionally used to measure Value at Risk (VaR), a measure of risk below a specified...
