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    A tale of two perspectives: Australian risk management in theory and in practice

    235375_Sia Chow-Siing use this partial 2015.pdf (7.176Mb)
    Access Status
    Open access
    Authors
    Sia, Chow-Siing
    Date
    2015
    Supervisor
    Prof. Jeffrey Petchey
    Assoc. Prof. Felix Chan
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/2257
    Collection
    • Curtin Theses
    Abstract

    The objective of this thesis is to identify the gap between academic research in risk management and its implementation in practice. The thesis focuses on the application of Value-at-Risk (VaR) in managing market risk for Australian Authorised Deposit-taking Institutions (ADIs). It is found that the current regulation does not provide regulator enough information to assess the information content of VaR forecasts reported by ADIs and, therefore, its role to monitor risk-taking behaviours in ADI is limited.

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