Stochastic Methods for Dynamic Risk Management. In today's environment of intense competitive pressures, volatile economic conditions, rising bankruptcies, and increasing levels of consumer and commercial debt, an organization's ability to effectively monitor and manage its credit risk can mean the difference between success and survival. The improvement of dynamic risk management systems is also an essential part of the new regulatory Capital Adequacy Proposal Basel II in which risk-sensitive c ....Stochastic Methods for Dynamic Risk Management. In today's environment of intense competitive pressures, volatile economic conditions, rising bankruptcies, and increasing levels of consumer and commercial debt, an organization's ability to effectively monitor and manage its credit risk can mean the difference between success and survival. The improvement of dynamic risk management systems is also an essential part of the new regulatory Capital Adequacy Proposal Basel II in which risk-sensitive capital requirements for credit portfolios and internal models of credit risk are advocated. The goal of the project is to develop novel stochastic methods for managing of credit risk and to bring theoretical innovations developed within the project to practical implementations. Read moreRead less
Investigation of Delay Propagation in Airline Schedules and the Impact on Network Reliability. This project will investigate the phenomenon of delay propagation in airline schedules and potential ways to mitigate the impact on network reliability. This project will improve our understanding of the complex behaviour of airline schedule systems in dealing with delay propagation and significantly enhance airlines' ability of controlling schedule delays. Australian airlines and passengers will benef ....Investigation of Delay Propagation in Airline Schedules and the Impact on Network Reliability. This project will investigate the phenomenon of delay propagation in airline schedules and potential ways to mitigate the impact on network reliability. This project will improve our understanding of the complex behaviour of airline schedule systems in dealing with delay propagation and significantly enhance airlines' ability of controlling schedule delays. Australian airlines and passengers will benefit from this project by improving schedule reliability, reducing schedule delays and delay costs, which are estimated at a hundred million dollars per year. This saving will also benefit passengers through lower fares. Developed scheduling methodologies are applicable to all other airlines.Read moreRead less
Approximation and Simulation of Large Diversified Portfolios. The measurement of risk for large diversified portfolios, consisting of primary securities and derivatives, will play a key role in future financial technology. Based on a new characterisation of asymptotic portfolios this project proposes the development, implementation and testing of highly efficient new approximate risk measurement methodologies suitable for portfolios with hundreds or thousands of instruments. Comparisons with sta ....Approximation and Simulation of Large Diversified Portfolios. The measurement of risk for large diversified portfolios, consisting of primary securities and derivatives, will play a key role in future financial technology. Based on a new characterisation of asymptotic portfolios this project proposes the development, implementation and testing of highly efficient new approximate risk measurement methodologies suitable for portfolios with hundreds or thousands of instruments. Comparisons with standard and new simulation methods will demonstrate their superiority. The outcomes of this project will give Australian industry an internationally competitive advantage in the measurement and management of risk for large diversified portfolios such as those of superannuation funds and banks.Read moreRead less
Joint System Identification for Point Processes and Time-series. In various application areas such as neurophysiology, earthquake modeling, price spikes in electricity markets, the data of interest are point processes (aka sequences of events) or combinations of point processes and analog signals. To understand the underlying subject of interest we need to be able to extract the maximum information from these observation sequences. The current tools for doing this are very limited. This resear ....Joint System Identification for Point Processes and Time-series. In various application areas such as neurophysiology, earthquake modeling, price spikes in electricity markets, the data of interest are point processes (aka sequences of events) or combinations of point processes and analog signals. To understand the underlying subject of interest we need to be able to extract the maximum information from these observation sequences. The current tools for doing this are very limited. This research program will develop the complex signal processing and system methodology needed to create a suitable tool set.Read moreRead less
The mathematics and language of engineering uncertainty, preference and utility. Australian engineering firms are principals in many high-profile projects. To defend their position, they must demonstrate both sound engineering and quality processes, which by international standards includes the traceability of decisions. Yet, there are few tools to vet the multitude of decisions that go into large-scale engineering works. This project aims to form mathematical models of decision-making based on ....The mathematics and language of engineering uncertainty, preference and utility. Australian engineering firms are principals in many high-profile projects. To defend their position, they must demonstrate both sound engineering and quality processes, which by international standards includes the traceability of decisions. Yet, there are few tools to vet the multitude of decisions that go into large-scale engineering works. This project aims to form mathematical models of decision-making based on the language modelling of what is written in engineering documentation about the bases of decisions. The new methods will help decision makers to pinpoint irrationalities in decisions and notify them of possible errors. The research can therefore be applied to important problems in the engineering sector such as risk management.Read moreRead less
Overseeing the internet: new paradigms of network measurement. Like the electricity network, the internet is a core infrastructure, and so must be reliable and efficient. A gap in bandwidth supply is like a blackout in terms of lost business and productivity. This project will provide the measurement breakthroughs to ensure that network behaviour can be accurately and comprehensively monitored.
The Modelling and Assessment of Credit Default Risk. This project will deliver an enhanced set of methodologies for the quantification and management of credit default risk. These outcomes will benefit researchers both in academia and in Australian financial institutions as research into credit risk has been active in recent years, due to the impending adoption by financial institutions of the Basel II accord on risk assessment. The outcomes will provide a strong academic methodology applied to ....The Modelling and Assessment of Credit Default Risk. This project will deliver an enhanced set of methodologies for the quantification and management of credit default risk. These outcomes will benefit researchers both in academia and in Australian financial institutions as research into credit risk has been active in recent years, due to the impending adoption by financial institutions of the Basel II accord on risk assessment. The outcomes will provide a strong academic methodology applied to credit default risk by Australian financial institutions and the Australian financial regulator. This research has the potential to enhance the competitivemess of Australia's financial sector.Read moreRead less
Efficient Estimation of Statistical Models with Many Parameters. Statistical models are used extensively in business, engineering and the sciences to describe the behavior of systems subject to uncertainty. There are often many unknowns in such models and relatively little data to estimate them. The object of the research is to develop methods that make these statistical models practical to use. The research team will apply the methodology to solve problems in economics, finance, marketing and t ....Efficient Estimation of Statistical Models with Many Parameters. Statistical models are used extensively in business, engineering and the sciences to describe the behavior of systems subject to uncertainty. There are often many unknowns in such models and relatively little data to estimate them. The object of the research is to develop methods that make these statistical models practical to use. The research team will apply the methodology to solve problems in economics, finance, marketing and the analysis of gene expression data. The project will also train doctoral and postdoctoral students and enhance Australia's reputation for research excellence in the Statistical and Mathematical Sciences. 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
Large Time Behavior of Solutions to Stochastic Partial Differential Equations. We will study equilibria of complex systems described by stochastic partial differential equations. The rates of convergence to equilibrium will be obtained for the equations driven by Gaussian and general Levy noises under physically relevant assumptions. The benefits of this project to the nation include enhancing its scientific standing in the international community, the training of Australian researchers in foref ....Large Time Behavior of Solutions to Stochastic Partial Differential Equations. We will study equilibria of complex systems described by stochastic partial differential equations. The rates of convergence to equilibrium will be obtained for the equations driven by Gaussian and general Levy noises under physically relevant assumptions. The benefits of this project to the nation include enhancing its scientific standing in the international community, the training of Australian researchers in forefront methods of mathematical analysis of complex systems and development of close ties with the world leaders in this area of research. The project will advance our understanding of complex systems arising in Phyiscs, Engineering, Social and Life Sciences, hence fits into the Priority Goal: Breakthrough Science. Read moreRead less