Ray Boffey

School of Finance and Business Economics

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

3

DOWNLOADS

361

CITATIONS

5

Scholarly Papers (3)

1.

Peas in a Pod: Canadian and Australian Banks Before and During a Global Financial Crisis

Number of pages: 7 Posted: 12 Jul 2011 Last Revised: 25 Jul 2011
School of Mathematics and Statistics, The University of Sydney, School of Finance and Business Economics and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 174 (170,231)
Citation 3

Abstract:

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Value at Risk, Conditional Value at Risk, Distance to Default; Probability of Default, Conditional Distance to Default, Conditional Probability of Default

2.

A Quantile Monte Carlo Approach to Measuring Extreme Credit Risk

Number of pages: 8 Posted: 24 Oct 2011
School of Mathematics and Statistics, The University of Sydney, School of Finance and Business Economics and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 137 (207,885)
Citation 2

Abstract:

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Value at Risk, Distance to Default, Probability of Default, Monte Carlo, Quantile Regression

3.

Survival of the Fittest: Contagion as a Determinant of Canadian and Australian Bank Risk

Number of pages: 9 Posted: 24 Oct 2011
School of Mathematics and Statistics, The University of Sydney, School of Finance and Business Economics and Edith Cowan University - School of Accounting, Finance and Economics
Downloads 50 (383,620)

Abstract:

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Value at Risk, Distance to Default, Banks, Contagion