Th Trng Ti Chnh

TS. L t Ch & THS. L Tun Anh

i nghin cu ny kt hp cch tip cn CVaR th trng vi m hnh tn

dng Merton/KMV to ra mt m hnh o lng ri ro tn dng di cc
iu kin th trng cc bin (th trng tim n nhng c sc kh lng
trc). Vic vn dng nghin cu thc nghim VN cho thy bng chng r rng
v tnh hiu qu ca phng php kt hp ny trong vic o lng ri ro v n. Bn
cnh , phng php CVaR th trng gp phn nhn din v xp hng ri ro cng
nh phn tch s chuyn dch ri ro gia cc ngnh trn th trng ti chnh VN trc
v sau khng hong 2008. Kt qu cho thy trc v sau khng hong, s chuyn dch
th hng ri ro ch din ra i vi cc ngnh c mc ri ro thuc nhm trung bnh. Tuy
vy, xu hng ri ro qua cc nm phn nh xu hng ca chung c th trng cng nh
nhng c th ngnh. Hu ht cc ngnh u gia tng ri ro trong nm 2008 ri sau
gim dn. Tc gi cng tm thy mi tng quan gia ri ro v t l vn c phn, trong
nhiu trng hp, cng ty s dng cng nhiu vn c phn th ri ro cng thp.
T kho: CVaR, Merton/KMV, ri ro tn dng, th trng ti chnh VN, vn
c phn
1. Gii thiu

Trong bi cnh nn kinh t ang

gp nhiu kh khn nh hin nay,
th trng ti chnh VN cng ang
i din vi nhng bt n v tim
n nhiu ri ro. Vic qun tr ri ro
ti chnh v vy ang l mt vn
thu ht s quan tm c bit t
gc nh qun tr doanh nghip
cng nh t gc ca Chnh ph.
cng vic qun tr ri ro t kt
qu tt, vic nh gi v c lng
c cc loi ri ro l rt quan
trng. Trong , ri ro tn dng
cn gi l ri ro v n l mt vn
nghin cu cn c quan tm
c bit l t sau khng hong ti
chnh 2008. Nhng nh hng tiu
cc t cuc khng hong ny vn
cn dai dng, s lng cc doanh
nghip v n v ph sn ang gia
tng mt cch nhanh chng trong

10

thi gian gn y. V vy, vic o

lng ri ro tn dng l mt phng
php cn thit trong vic nhn din,
nh gi v d bo tnh trng sc
khe ca mi doanh nghip; ng
thi thng qua vic lng ha ri
ro v n s gip cho doanh nghip
xc nh c mc ri ro v c
nhng gii php thch hp nhm
iu chnh ri ro v mc m doanh
nghip c th chp nhn c.
Vic o lng ri ro tn dng
khng phi l mt vn xa l g
trong cc doanh nghip VN, c
bit l trong cc ngn hng v cng
ty bo him. Tuy nhin, hin nay
cha c nhiu nghin cu thc
nghim nhm kim tra tnh hiu
qu hay mc tin cy ca cc
phng php o lng ri ro trong
iu kin th trng VN. Trn c
s tip cn v mt l thuyt v thc
nghim, tc gi mnh dn xy dng

PHT TRIN & HI NHP S 5 (15) - Thng 7-8/2012

mt m hnh kt hp gia phng

php CVaR th trng v m hnh
d bo ri ro v n Merton/KMV
ca t chc xp hng tn nhim
Moodys (da trn nn tng ca
m hnh nh gi quyn chn
Black-Scholes) o lng xc
sut v n ca cc cng ty trn th
trng chng khon VN. Cch tip
cn ny tng c Powell & Allen
(2009) nghin cu trn th trng
chng khon Australia v mang li
kt qu kh tch cc. Tuy nhin, tc
gi cha tm thy nhng nghin
cu tng t no VN. Chnh v
vy, m hnh tn dng kt hp ny
c tc gi ng dng so snh
ri ro v n ca cc cng ty gia
cc ngnh trong bi cnh th trng
ti chnh VN. Bi nghin cu ny
gii thch lm th no phng php
CVaR c th p dng i vi ri ro
tn dng trong nhng hon cnh

Th Trng Ti Chnh
kinh t khc nhau, ng thi cung
cp cho ngi c mt ci nhn
thu o hn v s nh hng ca
ri ro tn dng cc bin trong sut
cuc khng hong ti chnh 2008.
2. Tng quan cc kt qu nghin
cu trc y

2.1. Nhng nghin cu v VaR v

CVaR i vi ri ro tn dng
2.1.1. VaR v nhng hn ch
ca VaR.
VaR l mt khi nim c bit
n v s dng rng ri trong ngn
hng v bo him. VaR o lng
mc tn tht tim tng qua mt
khong thi gian nht nh ng
vi tin cy cho trc. Hip c
Basel (tha c v qun l ngn
hng do y ban Basel v gim st
ngn hng BCBS ban hnh) quy
nh VaR l thc o yu cu
xc nh mc an ton vn cho ri ro
th trng. Khng ch o lng ri
ro th trng, VaR cng c ng
dng o lng ri ro tn dng.
Mt s m hnh ng dng VaR i
vi ri ro tn dng c th k n nh
m hnh CreditMetrics (Gupton,
Finger & Bhatia, 1997), m hnh
CreditPortfolioView
(Wilson,
1998) v m hnh iTransition
(Allen & Powell, 2008).
Ngc li vi tnh ph bin ca
n, VaR c kh nhiu nhc im.
VaR cha ng nhng thuc tnh
ton hc hi phin phc, nh thiu
i cng tnh ph v tnh li m
Arztner v cng s (1999; 1997)
tho lun. VaR da trn gi nh
th phn phi dng chun, cn
xng vi lch chun. N s cht
ch khi da trn dng phn phi
ny nhng s khng cn cht ch
khi da trn nhng dng phn phi
khc. VaR tnh c t s kt hp
hai danh mc c th tt hn tng
cc ri ro ca tng danh mc n
l. iu rc ri hn l lin quan

vi vic VaR kh ti
u khi c tnh t
cc tnh hung (kch
bn). Tht kh gii
quyt v hm s ca
mt v th danh mc
c th xut hin a
cc tr a phng,
iu ny lm n tr
nn khng chc chn
khi xc nh tp hp
cc v th ti u v
gi tr VaR tng th
c th. Xem tho
lun v vn ny
Mckay & Keefer
(1996) v Mauser &
Rosen (1999).
2.2.2. CVaR v
nhng u im ca
n so vi VaR
So vi VaR, gi tr
ri ro c iu kin (CVaR) c
xem l mt thc o c hiu qu
hn. CVaR c th o lng li tc
cc bin (iu ny ngoi kh nng
ca VaR). Allen and Powell (2006;
2007) khm ph ra CVaR nh l
mt phng php tng ng
VaR trong vic o lng ri ro th
trng v tn dng. H pht hin
rng CVaR cho ra nhng kt qu
ph hp vi VaR khi p dng cho
cc loi ri ro ngnh Australia,
nhng thm vo l thun li
cho vic o lng li tc cc
bin (iu ny ngoi kh nng ca
VaR). Pflug (2000) chng minh
rng CVaR l mt thc o ri ro
cht ch vi nhiu thuc tnh nh
mong mun nh l tnh li v tnh
n iu, hai trong s nhng tnh
cht ng quan tm nht. Hn na,
VaR khng biu th khong tn tht
c th gp phi tr gi tr ngng
u tin c a ra bi thc o
ny. Ngc li CVaR xc nh s
lng tn tht c th gp phi trong

ui (tail) phn phi. Rockefeller

& Uryasev (2002; 2000) th nghin
cu CVaR i vi cc bi ton ti
a ha danh mc u t v cng
a ra nhng bng chng cho thy
CVaR hiu qu hn VaR.
2.2. Kt hp CVaR vi m hnh
Merton/KMV m hnh o lng
ri ro v n da trn nn tng l
thuyt nh gi quyn chn BlackScholes.
Bi nghin cu ny xy dng
mt m hnh lin kt gia phng
php CVaR v m hnh xc sut v
n (PD) dng cu trc ca Merton
nhm so snh ri ro tn dng trc,
trong v sau khng hong ti chnh
2008. Nghin cu cu trc cho
dng bin i ri ro tn dng tng
c thc hin qua nhiu phng
php nh phng php tng quan
ti sn (Cespedes, 2002; Kealhofer
& Bohn, 1993; Lopez, 2004;
Vasicek, 1987; Zeng & Zhang,
2001), gi tr tin on v tnh hiu
lc (Bharath & Shumway, 2004;
Stein, 2002) v m hnh thu nhp,

S 5 (15) - Thng 7-8/2012 PHT TRIN & HI NHP

11

Th Trng Ti Chnh

12

& c nh (DVari, Yalamanchili

Bai, 2003). Tc ng ca ri ro v
n trn li tc vn c phn cng
c kim chng (Chan, Faff, &
Koffman, 2008; Gharghori, Chan,
& Faff, 2007; Vassalou & Xing,
2002). Nhng bi nghin cu ny
cng gii thch PD nh l mt s
m rng ca quan im 3 nhn t
ca Fama and French (1992; Fama
& French, 1993) v nh gi ti sn
bao gm th trng, quy m v
gi tr s sch trn gi th trng.

vn ny. l mt lin kt gia

ri ro tn dng v cu trc vn ca
cng ty. Cch tip cn ny xem vn
c phn nh l mt quyn chn
da trn gi tr ti sn ca cng ty.
Qua phng trnh nh gi quyn
chn Black-Scholes, xc sut v
n (PD) s c c lng thng
qua mt tham bin khc l khong
cch ti v n (DD) y chnh l
cch tip cn ca m hnh Merton
(Merton, 1974), sau c t
chc Moodys KMV ng dng

Ghargori v cng s pht hin rng

ri ro v n khng c nh gi
trong li tc vn c phn v cc
nhn t Fama-French l khng i
din cho ri ro v n. Vassalou v
Xing pht hin s ng h i vi
quy m v gi tr s sch trn gi
th trng l c nh hng ln ri
ro v n, nhng khng tm thy
mi lin kt mnh gia ri ro v
n v li tc. Chan v cng s, s
dng mu d liu 30 nm bao qut
ca c phiu nh, pht hin mi
lin kt ng k gia ri ro v n
v li tc.
Trong khi nghin cu qu trnh
pht trin ca cc m hnh lng
ha ri ro tn dng, tc gi tm thy
mt hng tip cn kh th v trong

nh l mt cng c phn tch tn

dng nh lng, gi l m hnh
Merton/KMV. Cui cng, tc gi
kt hp m hnh Merton/KMV vi
phng php CVaR c mt m
hnh mi nhm c lng xc sut
v n trong iu kin th trng
cc bin, tc l lng ha c ri
ro tn dng cc bin.
3. D liu v phng php o
lng ri ro v n

3.1. D liu v x l d liu

Tc gi tin hnh nghin cu
trn th trng ti chnh VN t
nm 2007 n nm 2011. Mu d
liu ca tc gi bao gm nhng
thng tin ca 179 doanh nghip
c chng khon nim yt trn hai
sn giao dch HoSE v HNX. i

PHT TRIN & HI NHP S 5 (15) - Thng 7-8/2012

vi trng hp c lng VaR hay

CVaR, tc gi s dng d liu gi
lch s ca cc chng khon ny.
Cn trng hp tnh khong
cch ti v n (DD) v xc sut
v n (PD) tc gi s dng cc
thng tin v gi tr th trng ca
vn c phn, n (ngn hn v di
hn) c thu thp v tng hp t
cc bng bo co ti chnh ca cc
doanh nghip.
Mu d liu nghin cu theo
tng nm ca tc gi tng ng
vi ba thi k trc, trong v sau
khng hong ti chnh 2008. Trong
nghin cu ca tc gi, d liu
c th mang tnh i din hp l
cho th trng, cc chng khon
vi d liu t hn 12 thng mt
trong s ba thi k u b loi tr.
Ngoi ra, nhng ngnh vi t hn
3 cng ty cng b loi tr. Tc gi
va tin hnh nghin cu theo tng
chng khon ring l va nghin
cu trn phng din cc ngnh.
3.2. Phng php
* Tnh VaR v CVaR
tnh VaR, tc gi p dng
theo phng php c s dng
bi RiskMetrics (J.P. Morgan &
Reuters, 1996). Trong bi nghin
cu ny, tc gi tnh VaR vn c
phn v cng vy, CVaR vn c
phn. Li tc vn c phn theo
ngy c tnh cho mi nm bng
cch s dng lm logarit theo gi
tng i hng ngy:

tc l ly logarit ca t s gi
hm nay (Pt) chia cho gi ngy
hm trc (Pt-1). Khi VaR vi
tin cy (1-) ca cc gi tr li
tc X c tnh nh sau:
VaR(1-),x = z.x
trong z l h s chun vi
mc ngha .

Th Trng Ti Chnh
Cch thc tnh CVaR tng t
nh VaR ngoi tr vic chng ta
s dng gi tr k vng ca nhng
khon l vt VaR (tc l trng
hp xu nht ca li tc):
CVaR(1-),x = E[X|X VaR(1-),x]
Tnh DD/PD v CDD/CPD
tnh c khong cch ti
v n DD v xc sut v n PD,
chng ta s dng cc cng thc
sau:

v
PD = N(-DD)
trong V l gi tr th trng
ca ti sn cng ty, F l n danh
ngha ca cng ty, V l li tc k
vng ca ti sn cng ty, V l
bin ng trong gi tr ti sn ca
cng ty, T l k o hn ca cc
khon n ca cng ty v N() l
hm phn phi chun tch ly.
i vi mc ch ca bi nghin
cu ny tc gi xc nh xc sut
v n c iu kin (CPD) tc l
xc sut v n (PD) da trn iu
kin lch chun ca li tc ti
sn vt qu lch chun
tin cy 95%, tc l 5% trng hp
xu nht ca li tc ti sn. Tc gi
tnh lch chun 5% xu nht ca
li tc ti sn hng ngy i vi
mi thi k t c lch
chun c iu kin (Cstdev). Sau
tc gi thay th Cstdev bng
cng thc c s dng tnh
DD, c c DD c iu kin
(CDD). CPD c tnh bng
cch thay th DD bng CDD
trong cng thc:

v
CPD = N(-CDD)

4. Ni dung v cc kt qu
nghin cu

c lng CVaR vn c phn

i vi cc ngnh trn th trng
chng khon VN. Bng 1 so snh
CVaR c phn ( tin cy 95%)
gia cc ngnh trc, trong v sau
khng hong 2008.
Tt c cc ngnh u gim
mc CVaR (tng mc ri
ro), tr xy dng v bt ng
sn v cng ngh - truyn thng
trong thi k u khng hong.
T nm 2007 n nm 2008,
nhng ngnh c s gia tng nhiu
trong ri ro gm vn ti v kho
bi (tng 41%), ti chnh v bo
him (tng 38%), khai khong
(tng 27%), thng mi (tng

22%). Nhng nm sau khng

hong nhn chung mc ri ro
u gim hu ht cc ngnh,
vic tng ln nu c cng khng
ng k hoc tng gim khng
ng u qua cc nm. Chng ta
c th tnh CVaR cho giai on
2009-2011 thy c ri ro
thay i nh th no sau khng
hong.
Quan st Bng 2 ta nhn thy
tt c cc ngnh u gia tng
mc CVaR sau 2008, ngha l
mc ri ro u gim i. C th
thy ngnh ti chnh v bo him
c mc bin ng rt cao,
trc 2008 mc tng ri ro ln
ti 38% cn sau 2008 mc gim
ti 46%. iu ny ph hp v
ngnh Ti chnh v bo him l

Bng 1. Kt qu CVaR vn c phn qua cc nm

Gi tr CVaR
2007

2008

2009

2010

2011

Sn xut nng nghip

-0.0470

-0.0528

-0.0501

-0.0459

-0.0406

Khai khong

-0.0577

-0.0735

-0.0558

-0.0505

-0.0495

Tin ch cng cng

-0.0682

-0.0690

-0.0585

-0.0522

-0.0532

Xy dng v bt ng sn

-0.1022

-0.0948

-0.0696

-0.0669

-0.0624

Sn xut

-0.0678

-0.0804

-0.0702

-0.0638

-0.0627

Thng mi

-0.0666

-0.0812

-0.0644

-0.0610

-0.0548

Vn ti v kho bi

-0.0594

-0.0837

-0.0647

-0.0623

-0.0566

Cng ngh - Truyn thng

-0.2055

-0.1014

-0.0723

-0.0734

-0.0634

Ti chnh v bo him

-0.0738

-0.1021

-0.0625

-0.0494

-0.0529

Trung bnh

-0.0831

-0.0821

-0.0631

-0.0584

-0.0551

Bng 2. Thay i CVaR trc v sau khng hong

Gi tr CVaR

Thay i

2007

2008

2009-11

Trc 2008

Sau 2008

Sn xut nng nghip

-0.047

-0.053

-0.046

-12.29%

13.75%

Khai khong

-0.058

-0.074

-0.052

-27.37%

29.38%

Tin ch cng cng

-0.068

-0.069

-0.055

-1.11%

20.79%

Xy dng v bt ng sn

-0.102

-0.095

-0.066

7.23%

30.08%

Sn xut

-0.068

-0.080

-0.066

-18.56%

18.41%

Thng mi

-0.067

-0.081

-0.060

-21.95%

26.00%

Vn ti v kho bi

-0.059

-0.084

-0.061

-40.95%

26.92%

Cng ngh - Truyn thng

-0.205

-0.101

-0.070

50.65%

31.23%

Ti chnh v bo him

-0.074

-0.102

-0.055

-38.43%

46.17%

Trung bnh

-0.083

-0.082

-0.055

1.24%

32.85%

S 5 (15) - Thng 7-8/2012 PHT TRIN & HI NHP

13

Th Trng Ti Chnh
ngnh c t l s dng n rt cao,
v chu nhiu tc ng tiu cc
nht trong thi k khng hong
ti chnh. Nhng ngnh c cng
chiu hng bin ng ri ro
trc v sau khng hong l xy
dng v bt ng sn, cng ngh
- truyn thng, nhng ngnh
ny u c xu hng gim ri
ro sut giai on khng hong.
Tuy nhin, khng nn nhm ln
rng y l nhng ngnh t ri
ro. Bng 3 cho thy y l nhng
ngnh c mc ri ro c xp
hng rt cao so vi nhng ngnh
cn li. Trc v sau thi im
khng hong, y l hai ngnh c
mc ri ro cao nht. Ngnh cng
ngh - truyn thng l ngnh ri
ro nht, v ch nhng li v tr
ny cho ngnh ti chnh v bo
him vo nm 2008 cn nhng
nm cn li u dn u v mc
ri ro.
Khi t trong mi tng quan
vi cu trc vn ca ngnh, tc
gi nhn thy rng nhng ngnh
ri ro nht l nhng ngnh c
t l vn c phn thp, tc l
t l n cao (v d ngnh cng
ngh - truyn thng c t l n
giai on 2007-2010 trung bnh
l 52%, bt ng sn l 58%).
Ngc li ngnh t ri ro nht l
ngnh s dng phn ln vn c
phn trong c cu ti sn (ngnh
Sn xut nng nghip c t l
n trung bnh l 24% trong giai
on 2007-2010). Tc gi cng

Bng 3. Xp hng CVaR qua cc nm (T 1 n 9: 1 - ri ro thp nht; 9 - ri ro cao nht)

Xp hng CVaR
2007

2008

2009

2010

2011

2009-11

Sn xut nng nghip

Khai khong

Tin ch cng cng

Xy dng v bt ng sn

Sn xut

Thng mi

Vn ti v kho bi

Cng ngh - truyn thng

Ti chnh v bo him

nhn thy rng nhng ngnh c

xu hng gim ri ro qua thi
im khng hong th c t l n
tng ng cng gim dn (chng
hn cng ngh - truyn thng c
t l n gim dn t 69% nm
2007 xung cn 50% nm 2008,
44% nm 2009 ri tng nh ln
46% nm 2010; tng ng vi
quy lut thay i ca ri ro ngnh:
gim trong nm 2008, tip tc
gim trong nm 2009 ri tng nh
trong nm 2010). iu ny c l
hp l v khi gia tng n trong ti
sn ng ngha vi vic gia tng
gnh nng tr n trong tng lai
cho cng ty. Mt iu c th kt
lun t nghin cu thc nghim
CVaR trn th trng VN l ri
ro gia cc ngnh khng c s
chuyn dch mnh m cho nhau
(ngha l v tr xp hng khng
thay i ng k), ngnh c ri
ro t nht trc khng hong vn
l ngnh t ri ro nht sau khng
hong (sn xut nng nghip),

tng t vi ngnh nhiu ri ro

nht (cng ngh - truyn thng).
S chuyn dch ch ng k i
vi nhng ngnh c mc ri ro
thuc nhm gia (tin ch cng
cng, sn xut, vn ti v kho
bi). Bng 4 cho thy s thay i
ri ro gia cc ngnh trc v
sau thi im khng khong.
5. Kt lun

CVaR l mt thc o ri ro
tn dng c coi l hp l hn
VaR trong nhng iu kin th
trng cc bin. Tc gi vn
dng cch tip cn ca CVaR
vo m hnh Merton/KMV
lng ha ri ro tn dng cc
bin thng qua tham bin khong
cch n v n v xc sut v n.
Tc gi tm thy mi tng quan
gia ri ro v t l vn c phn,
trong nhiu trng hp, cng ty
s dng cng nhiu vn c phn
th ri ro cng thp. Th hng ri
ro gia cc ngnh trn th trng
ti chnh VN trc v sau khng

Bng 4. Thay i ri ro gia cc ngnh trc v sau khng hong

14

Ri ro

Trc 2008

2008

Sau 2008

Gim nhiu nht

Cng ngh - truyn thng

Ti chnh v bo him;
Xy dng v bt ng sn

Tng nhiu nht

Vn ti v kho bi; Ti chnh v bo him

t ri ro nht

Sn xut nng nghip

Sn xut nng nghip

Sn xut nng nghip

Nhiu ri ro nht

Cng ngh - truyn thng

Ti chnh v bo him

Cng ngh - truyn thng

PHT TRIN & HI NHP S 5 (15) - Thng 7-8/2012

Th Trng Ti Chnh

hong khng thay i hai thi

cc: t ri ro nht v nhiu ri ro
nht, s chuyn dch ch xy ra
i vi cc ngnh c mc ri ro
thuc nhm trung bnh trong s
cc ngnh. Tuy vy, xu hng
ri ro qua cc nm phn nh xu
hng ca chung c th trng
cng nh nhng c th ngnh.
Hu ht cc ngnh u gia tng
ri ro trong nm 2008 ri sau
gim dn.
Tc gi khuyn ngh cc t
chc o lng ri ro tn dng nn
cn nhc hng tip cn trong
bi ny nh lng trong iu
kin th trng cc bin. Nh u
t, ngi cho vay hay cc doanh
nghip nn cn nhc la chn
m hnh kt hp ny nh l mt
cng c phn tch, nhn din v
o lng ri ro tn dng t c
nhng gii php thch hp nhm
kim sot ri ro. gc Chnh
ph, cc nh chnh sch hon
ton c th s dng m hnh
tnh xc sut v n ca cc cng
ty trn th trng ti chnh, t
Chnh ph c th a ra nhng
iu chnh hoc tc ng kp thi
nhm gim thiu nhng tc ng
tiu cc c th nh hng xu
n nn kinh t.

Bn cnh nhng kt qu t
c, m hnh kt hp Merton/
KMV vi CVaR trong iu kin
cc bin vn tn ti hn ch do
nhng gi nh l thuyt ca
m hnh Merton c th b vi
phm trong qu trnh nghin
cu thc nghim. Trong tng
lai, vic m rng nghin cu l
cn thit vic nh gi c cu
v chuyn dch ri ro gia cc
ngnh c y v tng qut
hn. Ngoi ra, mt s hng
nghin cu khc da trn CVaR
v m hnh Merton/KMV c th
cn nhc nh nghin cu CVaR
cho trng hp ri ro ui dng
(positive tail) nh ri ro li sut,
ri ro t gi Chng ta cng
c th m rng m hnh kt hp
gia Merton/KMV v CVaR
gii quyt vn mt phm vi
rng hn nh o lng ri ro v
n ca mt quc gia l
TI LIU THAM KHO
Allen, D. E., & Powell, R. (2006).
Thoughts on VaR and CVaR, in Oxley,L.
and Kulasiri,D. (eds) MODSIM 2007
International Conference on Modelling
and Simulation. Modelling and Simulation
Society of Australia and New Zealand,
December 2007, pp.1843-1850 ISBN :
978-0-9758400-4-7. Available at http://

www.mssanz.org.au/modsim/papers/.
Allen, D. E., & Powell, R. (2007).
Structural Credit Modelling and its
Relationship to Market Value at Risk: An
Australian Sectoral Perspective, Working
Paper, Edith Cowan University.
Allen, D. E., & Powell, R. (2008).
Transitional Credit Modelling and its
Relationship to Market at Value at Risk:
An Australian Sectoral Perspective,
Accounting and Finance, forthcoming.
Bharath, S. T., & Shumway, T. (2004).
Forecasting Default with the KMV-Merton
Model. Available at http://w4.stern.nyu.
edu/salomon/docs/Credit2006/shumway_
kmvmerton1.pdf
Chan, H., Faff, R., & Koffman, P.
(2008). Default Risk, Size and the Business
Cycle: Three Decades of Australian Pricing
Evidence. Available at http://ssrn.com/
abstract=1097444
Gharghori, P., Chan, H., & Faff, R.
(2007), Are the Fama-French Factors
proxying default risk?, Australian Journal
of Management, forthcoming.
Lopez, J. A. (2004), The Empirical
Relationship between Average Asset
Correlation, Firm Probability of Default
and Asset Size, Journal of Financial
Intermediation, 13(2), 265-283.
Powell, R. & Allen, D.E., (2009)
Measuring and Modelling Risk, Global
Business and Economics Review, Vol X,
Vol. 11, Nos. 3/4, pp.199-224

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