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
Investment Approaches and Applications in Financial Markets: Evolutionary Kernel Based Subset Time-Series Using Semi-Parametric Approaches. The project will develop new investment assessments based on subset time-series modeling. Innovative evolutionary kernel smoothing algorithms using semi-parametric approaches will be introduced. The project will make three important applications of this modeling in financial markets: a) benchmarking and evaluation of inflation-indexed bonds; b) evaluation of ....Investment Approaches and Applications in Financial Markets: Evolutionary Kernel Based Subset Time-Series Using Semi-Parametric Approaches. The project will develop new investment assessments based on subset time-series modeling. Innovative evolutionary kernel smoothing algorithms using semi-parametric approaches will be introduced. The project will make three important applications of this modeling in financial markets: a) benchmarking and evaluation of inflation-indexed bonds; b) evaluation of the performance of global diversified investment funds; and c) prediction to provide early warning of the emergence of destabilising deflation or inflation. These three applications will lead to improved risk management practices and investment performance. Recursive algorithms will provide new statistical methods to study investment asset price movements and market volatility.
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Investment approaches and opportunities in renewable energy and financial resource markets, using semi-parametric approaches to evolutionary subset time-series lattice-ladder modelling. The project findings will help Australian exporters and importers understand and manage energy and resource price risks more effectively. The investment community will benefit through selecting optimal asset allocations and enhancing value to investors. It will also benefit many other agencies, particularly in th ....Investment approaches and opportunities in renewable energy and financial resource markets, using semi-parametric approaches to evolutionary subset time-series lattice-ladder modelling. The project findings will help Australian exporters and importers understand and manage energy and resource price risks more effectively. The investment community will benefit through selecting optimal asset allocations and enhancing value to investors. It will also benefit many other agencies, particularly in the service industries. It is not well recognised that in developed countries, including Australia, the financial service and related sectors account for more than 60 percent of economic activity and employment, so it is critical that more sophisticated statistical methods be established, and practical applications conducted, in order to advance the understanding of complexity management in the financial service and related sectors.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE160100999
Funder
Australian Research Council
Funding Amount
$295,020.00
Summary
Applying forward-backward stochastic differential equations to optimisation. This project intends to develop new ways to solve optimisation problems that are currently difficult to solve because of their complexity and size. In particular, forward–backward stochastic differential equations (FBSDEs) are a new technique that is showing ways to solve problems for which there is yet to be a solution. This project's focus will be on problems that cannot use existing software because the decision-maki ....Applying forward-backward stochastic differential equations to optimisation. This project intends to develop new ways to solve optimisation problems that are currently difficult to solve because of their complexity and size. In particular, forward–backward stochastic differential equations (FBSDEs) are a new technique that is showing ways to solve problems for which there is yet to be a solution. This project's focus will be on problems that cannot use existing software because the decision-making processes require intensive consideration of all possible outcomes in the modelled environment. In comparison to previous optimisation methods, the FBSDE approach is easier to work with and much more informative. The project's main potential applications are multiplayer games with mean-field interaction and financial markets with partial information.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
The Pricing and Hedging of Multi-Factor Multi-Commodity Based Swing Options. The partner organisation, an Australian based company, is a leading global player in providing risk management solutions to energy corporations world-wide. The advances of the project will help it to enhance Australia's role as a provider of practical implementation of the most recent academic advances in the area of risk management technology.
Increasing the effectiveness of quantitative verification. The ability to analyse the performance of complex systems and protocols is a vital part of the development of large-scale computer applications. Methods that improve the effectiveness of the analysis task would increase the competitiveness of the software industry, and would attract future development work (in complex systems) to Australia. The results of this project will have a direct influence on currently available design tools; the ....Increasing the effectiveness of quantitative verification. The ability to analyse the performance of complex systems and protocols is a vital part of the development of large-scale computer applications. Methods that improve the effectiveness of the analysis task would increase the competitiveness of the software industry, and would attract future development work (in complex systems) to Australia. The results of this project will have a direct influence on currently available design tools; the fact that Australian institutions will be (in part) responsible for key theoretical results in this growing field will strengthen Australia's position worldwide as an international centre for computer science.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