To download a copy of our latest research note on quantifying the tail risk of credit protfolios click on the Research Contents page and follow the prompts.

The background is that we wanted to see how the Australian hybrid market would behave if an event shock of the magnitude of the GFC were to be repeated. What we found was that due to structural changes in volatility the market would behave quite differently. We attribute this to the improved credit quality of the sector since the GFC and a raft of factors relating to the deinstitutionalisation, broadening and deleveraging of the investor base.

We were one of the first fund managers to use value at risk or VaR to measure market risk. It is a similar methodology we use to calculate the tail risk of our portfolios.