Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions ....Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions and estimate the errors involved. Applications include analysis of data in insurance, finance, flood prediction in hydrology.Read moreRead less
Risk and Prudential Regulation and Supervision of Australian Financial Institutions. The project seeks to enhance the effectiveness of prudential regulation and supervision of financial institutions (FIs) by examining the risk of FIs, as reflected in default risk premiums on FI international debt issues and variability of revenue/profitability measures, and the effect of broadening FI activities and the shift towards fee/commission income on FI risk. This forms the basis for the development and ....Risk and Prudential Regulation and Supervision of Australian Financial Institutions. The project seeks to enhance the effectiveness of prudential regulation and supervision of financial institutions (FIs) by examining the risk of FIs, as reflected in default risk premiums on FI international debt issues and variability of revenue/profitability measures, and the effect of broadening FI activities and the shift towards fee/commission income on FI risk. This forms the basis for the development and testing of statistical early warning systems of impending financial problems in Australian FIs. The models are compared with examiner rating systems currently used in prudential supervision.Read moreRead less
Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new ....Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new statistical control charts for security monitoring of epidemics, networks intrusions and other potentially dangerous changes. The research will also give Australia a competitive advantage in the area of education related to stochastic processes, mathematical finance, control theory and their applications.Read moreRead less