Industry value at risk in Australia

Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. Credit risk modelling has become increasingly important to banks since the advent of Basel 11 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 failing or experiencing severe difficulty. Conditional Value at Risk (CVaR) measures extreme risk, and is gaining popularity with the recognition that high losses are often impacted by a small number of extreme events.

Grantor dc:publisher

Edith Cowan University, Research Online, Perth, Western Australia

Year dc:date

2007

Author dc:creator

• Powell, Robert

• Risk management
• Mathematical models
• Credit
• Management
• Mathematical models.
• Banking and Finance Law

Repository record dc:identifier

https://ro.ecu.edu.au/theses/297

OAI identifier oai:identifier

oai:ro.ecu.edu.au:theses-1297