Modelling and managing financial risk: An overview

David Edmund Allen, Jiti Gao, Michael McAleer

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)


A number of papers of the special issue of Mathematics and Computers in Simulation presented an overview of modeling and managing financial risk. The first paper investigated the largest risk sector in practice, such as credit risk by 'Modeling the Credit Risk for Portfolios of Consumer Loans: Analogies with Corporate Loan Models'. The new Basel accord highlighted the need to develop appropriate models of the credit risk in portfolios of consumer loans. The paper discussed the way equivalent approaches were used to develop such models in consumer lending. The second paper of the special issue provided a 'Comparison of Alternative ACD Models via Density and Interval Forecasts: Evidence from the Australian Stock Market'. Several alternative ACD models were compared using a sample of data for three major companies that were traded on the Australian Stock Exchange.

Original languageEnglish
Pages (from-to)2521-2524
Number of pages4
JournalMathematics and Computers in Simulation
Issue number8
Publication statusPublished - Apr 2009
Externally publishedYes

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