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 …

Comparing Australia and the US both prior to and during the Global Financial Crisis (GFC),
using a dataset which includes more than six hundred companies, this paper modifies …

We apply a novel Quantile Monte Carlo (QMC) model to measure extreme risk of various
European industrial sectors both prior to and during the Global Financial Crisis (GFC). The …

Using quantile regression, this article examines default risk of emerging and speculative
companies in Australia and the United States as compared to established and investment …

The extreme credit risk experienced by banks during the GFC was a stark reminder of the
importance of measuring and providing for potential credit defaults in extreme …

Focus on capital adequacy intensified since the onset of the Global Financ ial Crisis (GFC),
with many US and other global banks experiencing capital shortages over this time. The …

Using quantile regression, this article examines default risk of emerging and speculative
companies in Australia and the United States as compared to established and investment …