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Robert Powell

Robert Powell

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CVaR and Credit Risk Management
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Industry Market Value at Risk in Australia
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Associate Professor Robert John Powell

Associate Professor

Telephone: (61 8)  6304 2439  
Mobile: 0439 510 130  
Email: r.powell@ecu.edu.au   
Campus: Joondalup  
Room: JO2.349  

 

Current teaching

  • Financial Institutions Management
  • Credit and Lending Decisions

Background

Prior to commencing teaching with ECU in 2006, Robert gained over 20 years experience in Financial Institutions, including Senior Management levels. Outside of university, Robert enjoys running and spending time with his family.

Staff qualifications

  • PhD Edith Cowan
  • M.Com South Africa
  • B.Com (Hons) Rhodes

Awards and recognition

  • 2012 - Faculty of Business and Law, Dean's Honour Roll for Top Researchers.
  • 2012 - Vice-Chancellor's Award for Excellence in Teaching.
  • 2011 - Faculty of Business and Law, Dean's Award for Postgraduate Teaching Excellence.  
  • 2011 - Award for Outstanding Lecturing, School of Accounting, Finance and Economics.
  • 2011 - Award for Outstanding Research, School of Accounting, Finance and Economics.

Research

Current research area

  • Credit Risk
  • Market Risk
  • Value at Risk
  • Conditional Value at Risk
  • Banking
  • The Global Financial Crisis

Recent research grants

Recent publications

Book chapters

  • Allen, D.E., Boffey, R.R. & Powell, R.J. (2012). Canada and Australia: Do they provide a Regulatory Model for Funds of Hedge Funds?, In Press in G. N. Gregoriou (Ed). Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence, Elsevier.  
  • Allen, D.E., Kramadibrata, A.R., Powell, R.J. & Singh, A.K. (2012). Asset Selection Using Factor Models and Stochastic Frontier Analysis: A Quantile Regression Approach, In Press, Chapter 27 in; Rethinking Valuation and Pricing Models, Eds. C. Wehn, C. Hoppe, G.N. Gregoriou, Elsevier.  
  • Allen, D.E., Kramadibrata, A.R., Powell, R.J. & Singh, A.K. (2012) South African Regulatory Reforms of Funds of Hedge Funds. In Press in G. N. Gregoriou (Ed). Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence, Elsevier.  
  • Allen, D.E., Kramadibrata, A.R., Powell, R.J. & Singh, A.K. (2012), Understanding the Regulation Impact: US Funds of Hedge Funds After the Crisis. In Press in G. N. Gregoriou (Ed). Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence, Elsevier.  
  • Allen, D.E., Kramadibrata, A.R., Powell, R.J. & Singh, A.K. (2012), A Panel Quantile Regression Analysis of Fund of Hedge Funds. In Press in G. N. Gregoriou (Ed). Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence, Elsevier. 
  • Allen, D.E., Pearce, S.R.A., & Powell, R.J. (2012). Due Diligence: Lessons from the Global Financial Crisis for Funds of Hedge Funds with Particular Emphasis on the Asia Pacific Region. In Press in G. N. Gregoriou (Ed). Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence, Elsevier.  
  • Allen, D. E., Powell, R. J., & Singh, A. K. (2011). Short Selling Consistency in South Africa. In G. N. Gregoriou (Ed.), Handbook of Short Selling: Elsevier.
  • Allen, D. E., Singh, A. K., & Powell, R. J. (2011). Machine Learning and Short Positions in Stock Trading Strategies.  In G. N. Gregoriou (Ed.), Handbook of Short Selling: Elsevier.
  • Allen, D. E., Singh, A. K., Powell, R. J., & Kramadibrata, A. (2011). Short Selling Stock Indices On Signals From Implied Volatility Index Changes: Evidence From Quantile Regression Based Techniques. In G. N. Gregoriou (Ed.), Handbook of Short Selling: Elsevier. 
  • Allen, D. E., Singh, A., & Powell, R. J. (2010). Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis. In G. N. Gregoriou (Ed.) Financial Econometrics Modeling. Market Microstructure, Factor Models and Financial Risk Measures. Palgrave McMillan. 
  • Allen, D. E., & Powell, R. J. (2009). Structural Credit Modelling and its Relationship to Market Value at Risk: An Australian Sectoral Perspective. In G. N. Gregoriou (Ed.), The VaR Implementation Handbook (pp. 403-414). New York: McGraw. 
  • Hill.Powell, R., & Allen, D. E. (2009). Bank Default Risk in the US and UK. In G. N. Gregoriou (Ed.), The Banking Crisis Handbook. New York: CRC Press.
  • Allen, D. E., & Powell, R. J. (2009). Structural Credit Modelling and its Relationship to Market Value at Risk: An Australian Sectoral Perspective. In G. N. Gregoriou (Ed.), The VaR Implementation Handbook (pp. 403-414). New York: McGraw Hill.

Refereed journal articles

  • Allen, D.E.  Boffey, R.R. & Powell, R.J., (2012).Applying Quantile Regression to Industry Default Risk in Europe. International Review of Business Research Papers, 3(4) May 2012.
  • Allen, D.E.  Boffey, R.R. & Powell, R.J., (2012). The Impact of Contagion on Non-Performing Loans: Evidence from Australia and Canada. In Press, Journal of Business and Policy Research, 7(2).  13 – 24. 
  • Allen, D.E., Kramadibrata, A.R., Powell, R.J. and Singh, A.K. (2012). Conditional Value at Risk Applications to the Global Mining Industry. In Press, Journal of Business and Policy Research. 
  • Allen, D.E., Kramadibrata, A.R., Powell, R.J. & Singh, A.K. (2012). Extreme Equities Risk in Emerging Markets: Evidence from Australia. In Press, Journal of Business and Policy Research.
  • Allen, D. E. & Powell, R. J. (2012).The Fluctuating Default Risk of Australian Banks,  Australian Journal of Management, 37(2), 297-325.
  • Allen, D.E. Powell, R.J. & Singh, A.K. (2012). Extreme Market Risk and Extreme Value Theory, in Press, Mathematics and Computers in Simulation.
  • Allen, D. E., Singh, A. K., & Powell, R.J. (2012). Analysing the Return Distributions of Australian Stocks: the CAPM, Factor Models and Quantile Regressions. in Press, Global Business and Economics Review.
  • Cheung, Y. H., & Powell, R. J. (2012). Anybody Can Do Value at Risk: A  Nonparametric Teaching Study.  Australasian Accounting, Business and Finance Journal, 6(1), 111-123.
  • Cheung, Yun Hsing & Powell, Robert J (2012). Anybody Can Do Value at Risk: A Teaching Study Using Parametric Computation and Monte Carlo Simulation, In Press, Australasian Accounting Business and Finance Journal, 6(4).
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011) Japanese Banks: Tail Risk and Capital Buffers. International Journal of Business Studies 19 (1).
  • Allen, D. E., & Powell, R. J. (2011). Customers and Markets: Both are Essential to Credit Risk Management in Australia. Australasian Accounting, Business and Finance Journal, 5(1), 57-75. 
  • Allen, D. E., Powell, R. J., & Singh, A. K. (2011). Beyond Reasonable Doubt: Multiple Tail Risk Measures Applied to European Industries.  Applied Economics Letters. 19(7), 671-676. 
  • Allen, D. E., & Powell, R. J.  (2011). Credit Risk and Real Capital: An Examination of Swiss Banking Sector Default Risk Using CVaR. Journal of Modern Accounting and Auditing, 7(6), 541-554. 
  • Allen, D. E., & Powell, R.J.(2011), Measuring and Optimising Extreme Sectoral Risk in Australia. Asia Pacific Journal of Economics and Business, 15(1), 1–14.
  • Allen, D. E.,  Singh, A. K., & Powell, R. J. (2011)  A Gourmet’s Delight: CAViaR and the Australian Stock Market, Applied Economics Letters 19(15), 1493-1498. 
  • Allen, D. E., Singh, A. K., & Powell, R. J. (2011). Minimising Loss at Times of Financial Crisis. Quantile Regression as a Tool for Portfolio Investment Decisions. Annals in Financial Economics, 6(1), 63-85.
  • Allen, D. E., Gerrans, P., Singh, A. K., & Powell, R. J. (2009). Quantile Regression: Its Application in Investment Analysis. Jassa(4), 7 -12
  • Allen, D.E, .& Powell, R. J. (2009). Transitional Credit Modelling and its Relationship to Market at Value at Risk: An Australian Sectoral Perspective. Accounting and Finance, 49(3), 425-444.

Conference papers

  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2012). A Quantile Analysis of Default Risk for Speculative and Emerging Companies, Econometric Society Australasian Meeting 2012, Melbourne. 
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2012). Enhancing Transition Matrices to Measure Extreme Credit Risk in Europe, Annual Paris Conference on Business and Social Sciences, Paris. 
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2012). Fasten Your Seatbelts: A Credit Risk Perspective on European Car Manufacturers, 7th Annual London Research Conference, London 
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2012). Extreme Theory Dependence of Stock Markets, Bachelier Finance Society 7th World Congress, Sydney.
  • Singh, A. K., Allen, D.E. & Powell, R. J. (2011). Value at Risk Estimation Using Extreme Value Theory. MODSIM, Perth.
  • Allen, D. E., Boffey, R. R. & Powell, R. J., (2011).  A Quantile Monte Carlo Approach to Measuring Extreme Credit Risk. World Business, Economics and Finance Conference, Bangkok. 
  • Allen, D. E., Boffey, R. R., & Powell, R. J. (2011). Peas in a Pod: Canadian and Australian Banks Before and During a Global Financial Crisis. MODSIM, Perth.
  • Allen, D. E., Boffey, R. R. & Powell, R. J., (2011). Survival of the Fittest: Contagion As A Determinant of Canadian and Australian Bank Risk. World Business, Economics and Finance Conference, Bangkok. 
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011). Are Credit Ratings a Good Measure of Capital Adequacy? MODSIM, Perth.
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011). Bank Risk: Does Size Matter? Econometrics Society Australasian Meeting, Adelaide. 
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011). Comparing Australian and US Corporate Default Risk Using Quantile Regression. Econometrics Society Australasian Meeting,  Adelaide. 
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011). Credit Risk Measurement Methodologies. MODSIM, Perth. 
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011). Innovative Transition Matrix Techniques for Measuring Extreme Risk: An Australian and U.S. Comparison. MODSIM, Perth. 
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011), Optimising a Mining Portfolio Using CVaR, 15th International Business Research Conference, Sydney.
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011), Tail Risk for Australian Emerging Market Entities, 15th International Business Research Conference, Sydney. 
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K. (2011). Xtreme Credit Risk Models: Implications for Bank Capital Buffers. Systemic Risk, Basel III, Financial Stability and Regulation Conference, Sydney. 
  • Allen, D. E., Singh, A. K., & Powell, R. J. (2011). Extreme Market Risk - An Extreme Value Theory Approach. Econometrics Society Australasian Meeting. Adelaide.
  • Singh, A. K., Allen, D.E. & Powell, R. J. (2011). Evaluating Extremal Dependance in Stock Markets Using Extreme Value Theory. MODSIM, Perth.
  • Allen, D.E. & Powell, R (2010). European Sectors and and Conditional Measures of Extreme Market and Credit Risk. Global Business Conference, Dubrovnik.
  • Allen, D. E., Powell, R, & Singh, A. (2010). Using Quantile Regression to Estimate Capital Buffer Requirements for Japanese Banks. Globalisation, Monetary Integration and Exchange Rate Regimes (GMIEER) in East Asia Conference, Perth. 
  • Allen, D. E., Singh, A., & Powell, R. (2009). Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis, 22nd Australasian Finance and Banking Conference, Sydney.
  • Powell, R., & Allen, D. E. (2009). CVaR and Credit Risk Management.  In Anderssen, R.S., R.D. Braddock and L.T.H. Newham (eds) 18th World IMACS Congress and MODSIM09. International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand and International Association for Mathematics and Computers in Simulation, July 2009, pp. 1508-151, Cairns.
  • Powell, R., & Allen, D. E. (2009). Impact of the Financial Crisis on Australian Bank Default Risk. In D. E. Allen (Ed.), Conference on  Financial Crises: Causes, Characteristics & Effects, Perth.
  • Allen, D. E., & Powell, R. (2007). Thoughts on VaR and CVaR. In Oxley,L.& 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, Christchurch.
  • Powell, R. (2007). Value at Risk and Conditional Value at Risk. UWA Business School and Centre for Economic Policy Research, PhD Conference in Economics and Business.
Other
  • Allen, D. E., Golab, A., & Powell, R. J. (2012). Volatility and Correlations for Stock Markets in the Emerging Economies of Central and Eastern Europe: Implications for European Investors. Working Paper, Edith Cowan University.
  • Allen, D.E., Golab, A,  Powell, R.J. & Yap, G. (2012). The Comovements of Emerging Stock Markets of Central and Eastern Europe: Impact of EU Enlargement. Working Paper, Edith Cowan University.
  • Allen, D.E. Kramadibrata, A. R.   McAleer, M. Singh, A.K., & Powell, R. J. (2012) A Non-parametric and Entropy Based Analysis of the Relationship Between the VIX and S&P500. Working Paper.
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K.  (2012) Modelling Tail Risk Using Transition Matrices. Working Paper, Edith Cowan University.
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K.  (2012). Take it to the Limit. Extreme Credit Risk Measurement. Working Paper, Edith Cowan University.
  • Allen, D. E., Kramadibrata, A. R., Powell, R. J., & Singh, A. K.  (2012). Taking Merton to the Extremes, CreditFlux Trade Publication.
  • Sudiman, J., Allen, D. E. &  Powell, R. J. (2012). A Closer Look at the Characteristics of Stock Holdings of Foreign and Local Investors in the Indonesian Stock Exchange (IDX). Working Paper, Edith Cowan University.
  • Sudiman, J., Allen, D. E. & Powell, R. J. (2012). The Contribution of Foreign Investors to Price Discovery in the Indonesian Stock Exchange, Working Paper, Edith Cowan University.
  • Allen D. E., & Powell, R. J. (2009). Industry Market Value at Risk in Australia. Working Paper, Edith Cowan University.