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  • Professor Robert Powell

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Professor Robert Powell

Professor of Finance

Staff Member Details
Telephone: +61 8 6304 2439
Email: r.powell@ecu.edu.au
Campus: Joondalup  
Room: JO2.444  
ORCID iD: https://orcid.org/0000-0003-3634-1264

Robert Powell is a Professor of Finance in the School of Business and Law.

Key Research Areas

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

Biography

Robert joined Edith Cowan University in 2007 where he teaches and researches in banking and finance. Prior to this he worked in the banking industry for twenty years in the areas of credit risk management, relationship management, workplace training, and in the development and implementation of credit and financial analysis models. Robert obtained a PhD from ECU in the development and application of value-at-risk models for measuring credit and market risk in Australia. He has a passion for teaching and enjoys seeing his students succeed. He is a recipient of an Australian national citation for outstanding contributions to student learning.

ECU Research Themes

Theme Two: Society and Culture: Individual, economic, organisational, political and social transformation

Awards and recognition

2019 - Vice Chancellor’s Staff Excellence Award: Citation for Sustained Commitment to Enhancing Diversity, Equity and Inclusion.

2017 - Highest Impact Publication Award. School of Business & Law

2016 - Mentorship in Research Award. School of Business & Law

2015 - Faculty of Business and Law. Dean's award for excellence in research

2015 - Australian award for university teaching: Citation for outstanding contributions to student learning

2014 - Deputy Vice-Chancellor’s Certificate of Excellence for Research

2012 - Vice-Chancellor's Award for Excellence in Teaching

2012 - Deputy Vice-Chancellor's Award for Achievements in Publishing Research Outputs

2012 - Faculty of Business and Law, Dean's Honour Roll for Top Researchers

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

2010 - Award for Outstanding Engagement, School of Accounting, Finance and Economics

2010 - Deputy Vice-Chancellor Award for Receipt of Grant Funding

2010 - Faculty of Business & Law Research Award

Professional associations
  • Financial Services in Australia (FINSIA), Fellow Member

Qualifications

  • DOCTOR OF PHILOSOPHY, Edith Cowan University, 2008.
  • Master of Commerce, South Africa, 1994.
  • Bachelor of Commerce with Honours, South Africa, 1985.
  • Bachelor of Commerce, South Africa, 1984.

Research Outputs

2024

Journal Articles

2023

Journal Articles

  • Powell, R., Do, A., Gengatharen, D., Yong, J., Gengatharen, R. (2023). The Relationship Between Responsible Financial Behaviours And Financial Wellbeing: The Case Of Buy-Now-Pay-Later. Accounting and Finance, 63(December 2023), 4431-4451. https://doi.org/10.1111/acfi.13100.
  • Powell, R., Dinh, D., Vu, N., Vo, D. (2023). Accounting-based variables as an early warning indicator of financial distress in crisis and non-crisis periods. International Journal of Finance and Economics, 2023(Article in press), -. https://doi.org/10.1002/ijfe.2864.

2022

Journal Articles

  • Stanway, A., Powell, R., Fradd, L., Sibson, R. (2022). Well-being, social and economic value of aquatic and leisure centres: a holistic model. Annals of leisure research, 25(2), 227-246. https://doi.org/10.1080/11745398.2020.1787183.
  • Pawski, D., Powell, R., Golab, A. (2022). Factors affecting the growth of small privately‐owned financial planning businesses. Australian Economic Papers, 61(4), 717-737. https://doi.org/10.1111/1467-8454.12275.
  • Pawski, D., Powell, R., Golab, A. (2022). An Analysis of Whether Privately Owned Financial Planning Practices Are Transitioning to Fully Independent Advice Providers. Journal of Risk and Financial Management, 15(8), Article Number 356. https://doi.org/10.3390/jrfm15080356.

2021

Journal Articles

  • Pham, T., Powell, R., Bannigidadmath, D. (2021). Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures. Pacific-Basin Finance Journal, 70(Dec 2021), Article number 101670. https://doi.org/10.1016/j.pacfin.2021.101670.
  • Dinh, VD., Powell, R., Vo, DH. (2021). Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach. Journal of Asian Economics, 74(June 2021), Article number 101293. https://doi.org/10.1016/j.asieco.2021.101293.

2020

Journal Articles

  • Powell, R., Vo, D. (2020). A comprehensive stability indicator for banks. Risks, 8(1), Article number 13. https://doi.org/10.3390/risks8010013.
  • Do, A., Powell, R., Yong, J., Singh, A. (2020). Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. The North American Journal of Economics and Finance, 54(November 2020), Article number 101096. https://doi.org/10.1016/j.najef.2019.101096.

2019

Journal Articles

Conference Publications

  • Bannigidadmath, D., Powell, R. (2019). The effectiveness of climate change models in measuring financial risk. The Proceedings of 3rd Business Doctoral and Emerging Scholars Conference (10-14). Edith Cowan University. https://ro.ecu.edu.au/ecuworkspost2013/7566.
  • Do, A., Powell, R., Singh, A., Yong, J. (2019). When did the Global Financial Crisis start and end?. The proceedings of the 3rd Business Doctoral and Emerging Scholars Conference (21-25). Edith Cowan University. https://ro.ecu.edu.au/ecuworkspost2013/6806.

2018

Journal Articles

  • Allen, D., McAleer, M., Powell, R., Singh, A. (2018). Non-parametric multiple change point analysis of the global financial crisis. Annals of Financial Economics, 13(2), Article number 1850008. https://doi.org/10.1142/S2010495218500082.
  • Golab, A., Jie, F., Powell, R., Zamojska, A. (2018). Cointegration between the European Union and the selected global markets following Sovereign Debt Crisis. Investment Management and Financial Innovations, 15(1), 14. https://doi.org/10.21511/imfi.15(1).2018.05.
  • Powell, R., Vo, DH., Pham, TN. (2018). Economic Cycles and Downside Commodities Risk. Applied Economics Letters, 25(4), 258-263. https://doi.org/10.1080/13504851.2017.1316818.
  • Powell, R., Vo, D., Pham, T. (2018). Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia.. Risks, 6(4), article no.121. https://doi.org/10.3390/risks6040121.

Conference Publications

  • Nguyen, TT., Powell, R., Golab, A., Bannigidadmath, D. (2018). Analysis of approaches to the relationship between risk and bank diversification. The proceedings of 3rd Business Doctoral and Emerging Scholars Conference (26-30). Edith Cowan University. https://ro.ecu.edu.au/ecuworkspost2013/7567.
  • Do, A., Powell, R., Singh, AK., Yong, J. (2018). Cross-equity linkages between China and the U.S.: An application of GARCH-M-GED. The proceedings of 2nd Business Doctoral and Emerging Scholars Conference (40-48). Edith Cowan University. https://ro.ecu.edu.au/ecuworkspost2013/4972.
  • Lavagna-Slater, S., Powell, R. (2018). Behavioural underwriting using non-traditional data sources: Evidence from stokvels. The proceedings of 3rd Business Doctoral and Emerging Scholars Conference (4-9). Edith Cowan University. https://ro.ecu.edu.au/ecuworkspost2013/7568.

2017

Journal Articles

  • Powell, R., Vo, DH., Pham, T., Singh, AK. (2017). The long and short of commodity tails and their relationship to Asian equity markets. Journal of Asian Economics, 52(October 2017), 32-44. https://doi.org/10.1016/j.asieco.2017.08.001.
  • Allen, D., McAleer, M., Powell, R., Singh, AK. (2017). Volatility Spillovers from Australia's Major Trading Partners Across the GFC. International Review of Economics and Finance, 47(1 January 2017), 159-175. https://doi.org/10.1016/j.iref.2016.10.007.
  • Powell, R., Vo, D., Pham, T., Singh, AK. (2017). A dataset on tail risk of commodities markets. Data in Brief, 15(2017), 58-62. https://doi.org/10.1016/j.dib.2017.09.005.
  • Powell, R. (2017). New Perspectives on Bank Risk in Malaysia. Cogent Economics and Finance, 5(1), Article no.1326217. https://doi.org/10.1080/23322039.2017.1326217.
  • Powell, R., Ryan, M., Lamb, S. (2017). The impact of the mining boom on the dining industry in Western Australia. Australasian Journal of Regional Studies, 23(2), 243-260.
  • Singh, AK., Powell, R., Allen, D. (2017). Tail dependence analysis of stock markets using extreme value theory. Applied Economics, 49(45), 4588-4599. https://doi.org/10.1080/00036846.2017.1287858.
  • Allen, D., McAleer, M., Powell, R., Singh, AK. (2017). Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. Applied Economics, 49(33), 3246-3262. https://doi.org/10.1080/00036846.2016.1257210.

2016

Journal Articles

  • Allen, D., McAleer, M., Powell, R., Singh, AK. (2016). Down-Side Risk Metrics as Portfolio Diversification Strategies across the Global Financial Crisis. Journal of Risk and Financial Management, 9(2), 18p.. https://doi.org/10.3390/jrfm9020006.
  • Allen, DE., McAleer, M., Powell, R., Singh, AK. (2016). A capital adequacy buffer model. Applied Economics Letters, 23(3), 175-179. https://doi.org/10.1080/13504851.2015.1061639.
  • Allen, DE., Powell, R., Singh, AK. (2016). Take it to the limit: Innovative CVaR applications to extreme credit risk measurement. European Journal of Operational Research, 249(2), 465-475. https://doi.org/10.1016/j.ejor.2014.12.017.

Conference Publications

  • Do, A., Powell, R., Singh, AK., Yong, J. (2016). Selection of a Model for Exploring Cross Market Linkages: A Review of E-GARCH, Markov-switching Framework and Structural Break Models. Proceedings of the ECU Business Doctoral and Emerging Scholars Colloquium (1-11). Edith Cowan University.
  • Dinh, D., Powell, R., Vo, D. (2016). Comparing Market-Based and Accounting-Based Credit Models: A Survey of the Theoretical Literature. Proceedings of the ECU Business Doctoral and Emerging Scholars Colloquium (68-76). Edith Cowan University.

Reports

  • Powell, R., Ryan, M., Lambert, C., Cooper, T., Giles, M., Hope, C. (2016). Report for WA Music: Preliminary Economic Impact of the Music Industry in WA. Joondalup, WA. Edith Cowan University.

2015

Book Chapters

  • Allen, D., Powell, R., Singh, AK. (2015). A Critique of Credit Risk Models with Evidence from Mid-Cap Firms. Quantitative Financial Risk Management: Theory and Practice (296-311). John Wiley & Sons. https://doi.org/10.1002/9781119080305.

Journal Articles

  • Powell, R. (2015). Australian Mining Industry: Credit and Market Tail Risk During a Crisis Period. International Journal of Management and Applied Science, 1(8), 159-163.
  • Powell, R. (2015). Malaysian Equities: A Sector Analysis Of Risk And Normality. International Journal of Management and Applied Science, 1(8), 86-91.

Conference Publications

  • Allen, DE., McAleer, M., Powell, R., Singh, AK. (2015). A volatility impulse response analysis applying multivariate GARCH models and news events around the GFC. MODSIM2015, 21st International Congress on Modelling and Simulation (1008-1014). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Powell, R., Singh, AK. (2015). Quantile regression, VaR and CVAR. An empirical beta comparison of the techniques in relation to credit risk. MODSIM2015, 21st International Congress on Modelling and Simulation (1015-1021). Modelling and Simulation Society of Australia and New Zealand.
  • Akyuwen, R., Boffey, R., Powell, R., Wijaya, K. (2015). Thoughts on extreme risk in Indonesia. A New Paradigm for International Business: Proceedings of the Conference on Free Trade Agreements and Regional Integration in East Asia (213-226). Springer. https://doi.org/10.1007/978-981-287-499-3_11.

2014

Book Chapters

  • Golab, A., Allen, DE., Powell, R. (2014). Aspects of Volatility and Correlations in European Emerging Economies. Emerging Markets and Sovereign Risk (59-80). Palgrave Macmillan. https://doi.org/10.1057/9781137450661_4.
  • Allen, DE., Powell, R., Singh, AK. (2014). Risk Management and Regulation. Investment Risk Management (324-345). Oxford University Press.
  • Golab, A., Allen, D., Powell, R., Yap, G. (2014). Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement. Emerging Markets and the Global Economy: A Handbook (449-482). Elsevier. https://doi.org/10.1016/B978-0-12-411549-1.00019-3.

2013

Book Chapters

  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). A Panel-Based Quantile Regression Analysis of Funds of Hedge Funds. Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence (261-272). Academic Press. https://doi.org/10.1016/B978-0-12-401699-6.00016-2.
  • Allen, D., Pearce, R., Powell, R. (2013). Due Diligence: Lessons from the Global Financial Crisis for Funds of Hedge Funds with Particular Emphasis on the Asia Pacific Region. Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence (41-52). Academic Press. https://doi.org/10.1016/B978-0-12-401699-6.00004-6.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). Understanding the Regulation Impact: US Funds of Hedge Funds After the Crisis. Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence (503-514). Academic Press. https://doi.org/10.1016/B978-0-12-401699-6.00030-7.
  • Allen, D., Boffey, R., Powell, R. (2013). Canada and Australia: Do They Provide a Regulatory Model for Funds of Hedge Funds?. Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practice in UCITS, Tail Risk, Performance and Due Diligence (515-524). Academic Press. https://doi.org/10.1016/B978-0-12-401699-6.00031-9.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). South African Regulatory Reforms of Funds of Hedge Funds. Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance and Due Diligence (525-536). Academic Press. https://doi.org/10.1016/B978-0-12-401699-6.00032-0.

Journal Articles

  • Sudiman, J., Allen, D., Powell, R. (2013). The Contribution of Foreign Investors to Price Discovery in the Indonesian Stock Exchange. Annals of Financial Economics, 8(2), 1350008-1-135008-24. https://doi.org/10.1142/S2010495213500085.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). Default Risk in the European Automotive Industry. International Review of Business Research Papers, 9(1), 22-37.
  • Allen, D., Singh, AK., Powell, R. (2013). Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions. Global Business and Economics Review, 15(1), 88-109. https://doi.org/10.1504/GBER.2013.050670.
  • Sudiman, J., Allen, D., Powell, R. (2013). A Closer Look at the Characteristics of Stock Holdings of Foreign and Local Investors in the Indonesian Stock Exchange (IDX). Annals of Financial Economics, 8(1), 1350002-1 - 1350002-22. https://doi.org/10.1142/S2010495213500024.
  • Allen, D., Nilapornkul, N., Powell, R. (2013). The Determinants of Capital Structure: Evidence from Thai Banks. Information Management and Business Review, 5(8), 401-410.
  • Allen, D., Ashraf, MA., McAleer, M., Powell, R., Singh, AK. (2013). Financial dependence analysis: applications of vine copulas. Statistica Neerlandica, 67(4), 403–435. https://doi.org/10.1111/stan.12015.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). Extreme Equities Risk in Emerging Markets. Global Review of Accounting and Finance, 4(1), 75-84.
  • Singh, AK., Allen, D., Powell, R. (2013). Extreme market risk and extreme value theory. Mathematics and Computers in Simulation, 94(2013), 310-328. https://doi.org/10.1016/j.matcom.2012.05.010.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2013). Modelling tail credit risk using transition matrices. Mathematics and Computers in Simulation, 93(2013), 67-75. https://doi.org/10.1016/j.matcom.2012.09.011.
  • Allen, D., Singh, AK., Powell, R. (2013). EVT and Tail-Risk Modelling: Evidence from Market Indices and Volatility Series. The North American Journal of Economics and Finance, 26(2013), 355–369. https://doi.org/10.1016/j.najef.2013.02.010.

Conference Publications

  • Arreola Hernandez, J., Powell, R. (2013). Optimal risk minimization of Australian energy and mining portfolios under multiple measures of risk. Proceedings - MODSIM2013, 20th International Congress on Modelling and Simulation (1208-1214). Modelling and Simulation Society of Australia and New Zealand.
  • Singh, AK., Allen, D., Powell, R. (2013). Intraday Volatility Forecast in Australian Equity Market. Proceedings of the 20th International Congress on Modelling and Simulation (MODSIM2013) (1312-1318). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Powell, R., Singh, AK. (2013). A Dynamic Credit Ratings Model. Proceedings of the 20th International Congress on Modelling and Simulation (MODSIM2013) (1291 - 1297). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Boffey, R., Kramadibrata, A., Powell, R., Singh, AK. (2013). Primary sector volatility and default risk in Indonesia. Proceedings of the 20th International Congress on Modelling and Simulation (MODSIM2013) (1298-1304). Modelling and Simulation Society of Australia and New Zealand.
  • Arreola Hernandez, J., Allen, D., Powell, R. (2013). Dependence estimation and controlled CVaR portfolio optimization of a highly kurtotic Australian mining sample of stocks. Proceedings of the 20th International Congress on Modelling and Simulation (MODSIM2013) (1305-1311). Modelling and Simulation Society of Australia and New Zealand.

2012

Book Chapters

  • Allen, D., Singh, AK., Powell, R. (2012). Asset Selection Using a Factor Model and Data Envelopment Analysis - A Quantile Regression Approach. Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges (443-455). Elsevier. https://doi.org/10.1016/B978-0-12-415875-7.00027-0.

Journal Articles

  • Allen, D., Powell, R. (2012). The Fluctuating Default Risk of Australian Banks. Australian Journal of Management, 37(2), 297-325. https://doi.org/10.1177/0312896211432369.
  • Allen, D., Boffey, R., Powell, R. (2012). The Impact of Contagion on Non-Performing Loans: Evidence from Australia and Canada. Journal of Business and Policy Research, 7(2), 13-24.
  • Allen, D., Powell, R., Singh, AK. (2012). Beyond reasonable doubt: multiple tail risk measures applied to European industries. Applied Economics Letters, 19(7), 671-676. https://doi.org/10.1080/13504851.2011.593496.
  • Allen, D., Boffey, R., Kramadibrata, A., Powell, R., Singh, AK. (2012). Thumbs Up to Parametric Measures of Relative VaR and CVaR in Indonesian Sectors. International Journal of Business Studies, 20(1), 27-42.
  • Cheung, YH., Powell, R. (2012). Anybody Can Do Value at Risk: A Nonparametric Teaching Study. Australasian Accounting Business and Finance Journal, 6(1), 111-123.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2012). Identifying European Industries with Extreme Default Risk: Application of CVaR Techniques to Transition Matrices. World Review of Business Research, 2(6), 46-58.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2012). Conditional Value at Risk Applications to the Global Mining Industry. Journal of Business and Policy Research, 7(3), 11-23.
  • Cheung, YH., Powell, R. (2012). Anybody Can do Value at Risk: A Teaching Study Using Parametric Computation and Monte Carlo Simulation. Australasian Accounting Business and Finance Journal, 6(5), 101-118.
  • Allen, D., Boffey, R., Powell, R. (2012). Applying Quantile Regression to Industry Default Risk in Europe. International Review of Business Research Papers, 8(4), 20-29.
  • Allen, D., Singh, AK., Powell, R. (2012). A Gourmet's Delight: CaViaR and the Australian Stock Market. Applied Economics Letters, 19(15), 1493-1498. https://doi.org/10.1080/13504851.2011.636017.

Conference Publications

  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2012). A Quantile Analysis of Default Risk for Speculative and Emerging Companies. Econometric Society Australasian Meeting 2012 (8). Econometric Society Australasia.
  • Allen, D., McAleer, M., Powell, R., Singh, AK. (2012). A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500. 25th Australasian Finance & Banking Conference Proceedings (19). SSRN eLibrary. https://doi.org/10.2139/ssrn.2132065.
  • Singh, AK., Allen, D., Powell, R. (2012). Risk and Dependence Analysis of Australian Stock Market - The Case of Extreme Value Theory. 25th Australasian Finance & Banking Conference Proceedings (22). SSRN eLibrary.
  • Allen, D., Golab, A., Powell, R., Yap, G. (2012). The Comovements of Emerging Stock Markets of Central and Eastern Europe: Impact of EU. Proceedings of the International Finance, Banking and Insurance Congress (FIBAC) 2012 (1-17). Istanbul Kultur University.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2012). Fasten Your Seatbelts: A Credit Risk Perspective on European Car Manufacturers. Proceedings of 7th Annual London Business Research Conference (12). World Business Institute.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2012). Enhancing Transition Matrices to Measure Extreme Credit Risk in Europe. Proceedings of Annual Paris Business and Social Sciences Conference (11). World Business Institute.

2011

Book Chapters

Journal Articles

  • Allen, D., Singh, AK., Powell, R. (2011). Quantile Regression as a Tool for Portfolio Investment Decisions. Annals of Financial Economics, 6(1), 63-85.
  • Allen, D., Powell, R. (2011). Customers and Markets: Both Are Essential to Credit Risk Measurement in Australian Banks. Australasian Accounting Business and Finance Journal, 5(1), 57-75.
  • Allen, D., Powell, R. (2011). Measuring and Optimising Extreme Sectoral Risk in Australia. Asia Pacific Journal of Economics and Business, 15(1), 1-14.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Japanese Banks: Tail Risk and Capital Buffers. International Journal of Business Studies (ECU), 19(1), 7-27.
  • Allen, D., Powell, R. (2011). Measuring Real Capital Adequacy in Extreme Economic Conditions: An Examination of Swiss Banking Sector. Journal of Modern Accounting and Auditing, 7(6), 541-554.

Conference Publications

  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Bank Risk: Does Size Matter?. 2011 Australasian Meeting of the Econometric Society (25). Editorial Express.
  • Singh, AK., Allen, D., Powell, R. (2011). Value at Risk Estimation Using Extreme Value Theory. MODSIM2011, 19th International Congress on Modelling and Simulation (1478-1484). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Boffey, R., Powell, R. (2011). A Quantile Monte Carlo Approach to Measuring Extreme Credit Risk. Proceedings of World Business Economics and Finance Conference (615). World Business Institute.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Comparing Australian and US Corporate Default Risk Using Quantile Regression. 2011 Australasian Meeting of the Econometric Society (12). Editorial Express.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Are credit ratings a good measure of capital adequacy?. MODSIM2011, 19th International Congress on Modelling and Simulation (1457-1463). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Tail Risk for Australian Emerging Market Entities. Proceedings of 15th International Business Research Conference (611). World Business Institute.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Optimising a Mining Portfolio Using CVaR. Proceedings of 15th International Business Research Conference (12). World Business Institute.
  • Allen, D., Boffey, R., Powell, R. (2011). Survival Of The Fittest: Contagion as a Determinant of Canadian and Australian Bank Risk. Proceedings of World Business Economics and Finance Conference (9). World Business Institute.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Xtreme Credit Risk Models: Implications for Bank Capital Buffers. 2011 Systemic Risk, Basel III, Financial Stability & Regulation (1-22). Institute of Global Finance.
  • Singh, AK., Allen, D., Powell, R. (2011). Evaluating Extremal Dependence in Stock Markets Using Extreme Value Theory. MODSIM2011, 19th International Congress on Modelling and Simulation (1485-1491). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Kramadibrata, A., Powell, R., Singh, AK. (2011). Innovative transition matrix techniques for measuring extreme risk: an Australian and U.S. comparison. MODSIM2011, 19th International Congress on Modelling and Simulation (1451-1456). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Singh, AK., Powell, R. (2011). Extreme Market Risk - An Extreme Value Theory Approach. 2011 Australasian Meeting of the Econometric Society (26). Editorial Express.
  • Allen, D., Powell, R. (2011). Credit risk measurement methodologies. MODSIM2011, 19th International Congress on Modelling and Simulation (1464-1470). Modelling and Simulation Society of Australia and New Zealand.
  • Allen, D., Boffey, R., Powell, R. (2011). Peas in a pod: Canadian and Australian banks before and during a Global Financial Crisis. MODSIM2011, 19th International Congress on Modelling and Simulation (1444-1450). Modelling and Simulation Society of Australia and New Zealand.

2010

Conference Publications

  • Allen, D., Powell, R., Singh, AK. (2010). Using Quantile Regression to Estimate Capital Buffer Requirements for Japanese Banks. Globalization, Monetary Integration and Exchange Rate Regimes in East Asia (GMIEER) (23p.). Edith Cowan University.
  • Powell, R., Allen, D. (2010). European Sectors and Conditional Measures of Extreme Market and Credit Risk. Global Business Conference Proceedings (117-127). Innovation Institute.

2009

Book Chapters

  • Powell, R., Allen, D. (2009). Bank Default Risk in the United States and the United Kingdom. The Banking Crisis Handbook (503-519). CRC Press.
  • Allen, D., Powell, R. (2009). Structural credit modeling and its relationship to market Value at Risk: An Australian sectoral perspective. The VaR Implementation Handbook (403-414). McGraw Hill Education.

Journal Articles

  • Allen, D., Powell, R. (2009). Transitional Credit Modelling and its Relationship to Market Value at Risk: an Australian sectoral perspective. Accounting and Finance, 49(3), 425-444.
  • Allen, D., Gerrans, P., Singh, AK., Powell, R. (2009). Quantile regression: its application in investment analysis. JASSA: Journal of the Australian Society of Security Analysts, 2009(4), 7-12.

Conference Publications

  • Allen, D., Singh, AK., Powell, R. (2009). Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis. 22nd Australasian Finance & Banking Conference 2009 (1-19). UNSW Australian School of Business.
  • Powell, R., Allen, D. (2009). Impact of the Financial Crisis on Australian Bank Default Risk. 2009 Conference on Financial Crises: Causes, Characteristics & Effects (14p.). Edith Cowan University.
  • Powell, R., Allen, D. (2009). CVaR and Credit Risk Measurement. Proceedings of the 18th World IMACS Congress and MODSIM09 International Congress on Modelling and Simulation (1508-1514). Modelling and Simulation Society of Australia and New Zealand.

2007

Conference Publications

  • Allen, D., Powell, R. (2007). Thoughts on VaR and CVaR. MODSIM07 : International Congress on Modelling and Simulation : Land, water & environmental management : integrated systems for sustainability (1843-1850). Modelling and Simulation Society of Australia and New Zealand.

Research Projects

  • Understanding the social and economic contributions made by Western Australian leisure centres. , Edith Cowan University, ECU Industry Collaboration Grant - 2017 Open Round, 2018 ‑ 2019, $45,468.
  • The economic and social impacts of contemporary music in Western Australia (WAM project), Edith Cowan University, ECU Capability Enhancement Scheme - 2015 or earlier, 2015 ‑ 2016, $18,410.
  • New methods for modelling and forecasting risk, Australian Research Council, Grant - Discovery Projects, 2011 ‑ 2015, $369,431.
  • Modelling Multivariate Dependence Between Realized Volatilities Using Vine Copula Methods, Edith Cowan University, ECU Early Career Researcher Grant - 2013, 2013 ‑ 2014, $5,000.
  • Modelling Extreme Credit Risk Using Quantile Regressions, Edith Cowan University, ECU Early Career Researcher - Grant, 2010 ‑ 2011, $14,045.

Research Student Supervision

Current Supervisions

No data available

Completed Supervisions

Principal Supervisor

  • Doctor of Philosophy, Prediction models of corporate financial distress in the southeast Asian countries
  • Doctor of Philosophy, Is the privately owned financial planning sector growing or going?
  • Doctor of Philosophy, New capital structure models: Thai bank evidence
  • Doctor of Philosophy, Vine copula modelling of dependence and portfolio optimization with applications to the mining and energy stock return series from the Australian market
  • Doctor of Philosophy, The determinants of banking system soundness: Evidence from selected developed economies
  • Doctor of Philosophy, Three Essays on Systemic Risk in Asian Emerging Markets
  • Doctor of Philosophy, Modelling cross-market linkages between global markets and China’s A-, B- and H-shares

Co-principal Supervisor

  • Doctor of Philosophy, An investigation into the volatility and cointegration of emerging european stock markets.
  • Doctor of Philosophy, Empirical market microstructure studies of the Indonesian stock exchange (idx)

Associate Supervisor

  • Doctor of Philosophy, Modelling extreme market risk - a study of tail related risk measures
  • Doctor of Philosophy, The profitability of technical analysis and stock returns from a traditional and bootstrap perspective: Evidence from Australia, Hong Kong, Malaysia and Thailand.
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