Date of Award
Edith Cowan University
Doctor of Philosophy
School of Accounting, Finance and Economics
Faculty of Business and Law
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.
Powell, R. (2007). Industry value at risk in Australia. Edith Cowan University. Retrieved from https://ro.ecu.edu.au/theses/297