Credit risk modelling has become increasingly important to Banks since the advent of Basel II which allows Banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks...

Credit risk modelling has become increasingly important to Banks since the advent of Basel II which allows Banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks...

In the aftermath of the Global Financial Crisis (GFC), the Canadian and Australian banking systems have been singled out by some commentators as having performed better than many other banking systems, particularly those in Europe, America and the United Kingdom. Banks in both Canada and...

This paper examines the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using a linear and non- linear quantile regression approach. Our goal is to demonstrate that the relationship between the volatility and market return, as...

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacifc). We explore the relationship between the S&P 500 daily continuously compounded...

This paper examines the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using a linear and non- linear quantile regression approach. Our goal is to demonstrate that the relationship between the volatility and market return, as...

This paper presents an application of a recently developed approach by Matteson and James (2012) for the analysis of change points in a data set, namely major financial market indices converted to financial return series. The general problem concerns the inference of a change in the distribution...

This paper features the application of a novel and recently developed method of statistical and mathe- matical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modelling using copulas is a popular tool in financial applications, but is usually applied to...

Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...

This paper features a new autoregressive conditional duration (ACD) model which sits within the theoretical framework provided by the recently developed observation-driven time series models by Creal et al. (2013): the generalized autoregressive score (GAS) models. The autoregressive conditional...