Tail Risk for Australian Emerging Market Entities

Author:

Allen David E.,Kramadibrata Akhmad,Powell Robert J.,Singh Abhay Kumar

Publisher

Elsevier BV

Reference25 articles.

1. A comparison of VaR and CvaR constraints on portfolio selection with the mean-variance model;G J Alexander;Management Science,2004

2. A quantile Monte Carlo approach to measuring extreme credit risk;D E Allen;World Business Economics and Finance Conference,2011

3. Comparing Australian and US corporate default risk using quantile regression;D E Allen;Econometrics Society Australasian Meeting,2011

4. Measuring and optimising extreme sectoral risk in Australia;D E Allen;Asia Pacific Journal of Economics and Business,2011

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