Param Silvapulle

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

SCHOLARLY PAPERS

14

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1,315

CITATIONS
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Top 36,077

in Total Papers Citations

5

Scholarly Papers (14)

1.

A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Before and After the Global Financial Crisis

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 56 Posted: 24 Aug 2010 Last Revised: 19 Jul 2012
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 299 (99,215)

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Dependence, Blanket tests, Semi-parametric method, copula, Investment decision, Value-at risk

2.

Modelling and Predicting of Australian Mortgage Delinquency Risk: A Preliminary Data Analysis

Number of pages: 25 Posted: 30 Jan 2013
Daniel Roesch, Harald (Harry) Scheule and Param Silvapulle
University of Regensburg, University of Technology Sydney (UTS) - School of Finance and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 246 (121,868)

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Basel III, correlation, credit risk, default probability, delinquency, exposure at default, loss given default, mortgage, mortgage-backed security

3.

Nonlinear and Semi-Parametric Modelling of Personal Loan Credit Scoring

26th Australasian Finance and Banking Conference 2013
Number of pages: 38 Posted: 16 Aug 2013
Monash Business School, Monash University and Monash University - Department of Econometrics & Business Statistics
Downloads 183 (161,604)

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Consumer loans, Credit scoring, Probability of default, Generalized additive model, Neural networks

4.

Kernel Estimation of Copula Densities and Applications

Number of pages: 72 Posted: 20 Jun 2015
Song LI and Param Silvapulle
Monash Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 134 (210,188)

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Boundary bias, Gaussian copula kernel, Kernel selection, Bayesian bandwidth

5.

Estimation of Operational Risks Using Non-Parametric Approaches with an Application to US Business Losses

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 47 Posted: 25 Aug 2011
Param Silvapulle and Ainura Tursunalieva
Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 116 (234,669)

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6.

A Semi-Parametric Approach to Estimating the Operational Risk and Expected Shortfall

Number of pages: 28 Posted: 19 Sep 2013
Ainura Tursunalieva and Param Silvapulle
Swinburne University and Monash University - Department of Econometrics & Business Statistics
Downloads 104 (253,482)

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Heavy-tailed distribution, tail losses, Generalised Pareto Distribution, OpVaR, Confidence intervals, Expected Shortfall

7.

Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models

Number of pages: 55 Posted: 04 Sep 2013
Xiangjin Bruce Chen, Jiti Gao, Degui Li and Param Silvapulle
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 93 (272,907)

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Bootstrap Method, Heterogeneous Autoregressive Model, Locally Stationary Process, Nonparametric Method

8.

Non- and Semi-Parametric Quantile Models for Recovery Rate

29th Australasian Finance and Banking Conference 2016
Number of pages: 42 Posted: 22 Aug 2016 Last Revised: 24 Aug 2016
Nithi Sopitpongstorn, Jiti Gao, Param Silvapulle and Xibin Zhang
Monash Business School, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University
Downloads 56 (362,018)

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Loss given default, Credit risk, Borrower characteristics, Nonlinear models, Local constant method

9.

Local Logit Regression for Recovery Rate

Number of pages: 42 Posted: 16 Oct 2017 Last Revised: 17 Oct 2017
Nithi Sopitpongstorn, Param Silvapulle and Jiti Gao
Monash Business School, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 32 (449,151)

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loss given default, credit risk, nonlinearity, kernel estimation, defaulted debt, simulation

10.

Asymmetry in Okun's Law

Canadian Journal of Economics, Vol. 37, No. 2, pp. 353-374, May 2004
Number of pages: 22 Posted: 26 May 2004
Param Silvapulle, Imad A. Moosa and Mervyn Silvapulle
Monash University - Department of Econometrics & Business Statistics, Monash University and La Trobe University - Department of Mathematics and Statistics
Downloads 27 (473,106)
Citation 4
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11.

Testing for Temporal Asymmetry in the Price-Volume Relationship

Bulletin of Economic Research, Vol. 55, pp. 373-389, October 2003
Number of pages: 18 Posted: 19 Oct 2003
Imad A. Moosa, Param Silvapulle and Mervyn Silvapulle
Monash University, Monash University - Department of Econometrics & Business Statistics and La Trobe University - Department of Mathematics and Statistics
Downloads 12 (558,036)
Citation 1
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12.

Nonparametric Time Varying Coefficient Panel Model for Climate Change and Rice Yield in Two States in India

Number of pages: 27 Posted: 27 Aug 2018
Param Silvapulle and Sisira Jayasuriya
Monash University - Department of Econometrics & Business Statistics and Monash University
Downloads 11 (564,005)

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Agriculture, Climate Impacts, Crop Yield, Food Security, Local Linear Estimator, Panel Model

13.

Canadian Monetary Policy Analysis Using a Structural Varma Model

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 49, Issue 1, pp. 347-373, 2016
Number of pages: 27 Posted: 15 Sep 2016
Mala Raghavan, George Athanasopoulos and Param Silvapulle
Monash University, Monash University - Department of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 1 (637,336)
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14.

An Empirical Analysis of the Operational Losses of Australian Banks

Accounting & Finance, Vol. 52, Issue 1, pp. 165-185, 2012
Number of pages: 21 Posted: 17 Jan 2012
Imad A. Moosa and Param Silvapulle
Monash University and Monash University - Department of Econometrics & Business Statistics
Downloads 1 (637,336)
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Operational risk, Basel II, Event studies, Operational loss events, G21