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Extreme Value Theory Approaches to Insurance in a Catastrophic Environment. Recent decades are marked by numerous significant natural (climate change) or man-made (financial crises) catastrophes, which have significantly altered the landscape of the insurance industry. These have potentially significant negative impacts on the availability and affordability of insurance, and hence on the capability and capacity of households and businesses to take risks and be competitive. This project endeavour ....Extreme Value Theory Approaches to Insurance in a Catastrophic Environment. Recent decades are marked by numerous significant natural (climate change) or man-made (financial crises) catastrophes, which have significantly altered the landscape of the insurance industry. These have potentially significant negative impacts on the availability and affordability of insurance, and hence on the capability and capacity of households and businesses to take risks and be competitive. This project endeavours to establish progressive approaches (using extreme value theory) to the challenges faced by insurance in such a catastrophic environment. They will enhance the financial stability and competitivity of the Australian economy, and further establish its global leadership in dealing with climate changes and catastrophes.Read moreRead less
Understanding the Impact of Sovereign Wealth Funds on the Financial Markets. This project aims not only to reveal the impact of sovereign wealth fund (SWFs) on Australian international stock markets, but also to assess their investment behaviour. An SWF is an investment fund managed by a government or other organisation on behalf of a sovereign state. The impact of SWFs on international financial markets and their behaviour are of great importance to market participants as well as policy-makers. ....Understanding the Impact of Sovereign Wealth Funds on the Financial Markets. This project aims not only to reveal the impact of sovereign wealth fund (SWFs) on Australian international stock markets, but also to assess their investment behaviour. An SWF is an investment fund managed by a government or other organisation on behalf of a sovereign state. The impact of SWFs on international financial markets and their behaviour are of great importance to market participants as well as policy-makers. The project aims to measure the systemic risk contribution of SWFs and to analyse the anti-takeover provisions of SWFs’ target firms. In addition, the project aims to understand the relation between anti-takeover provisions and target firm value and will examine the role of SWFs as a socially responsible investor. The expected outcomes will improve our understanding of the impact of SWFs on the Australian financial markets in terms of social and economic wellbeing.Read moreRead less
Financial tunnelling: shareholder protection and wealth changes during two decades of capital management activities in Australia. Companies raise capital and distribute capital and profits through various mechanisms, often structured to benefit important shareholders such as institutions. This study examines the extent to which minority shareholders have had wealth destroyed through company capital management activities, and offers corporate governance solutions.
Modelling claim dependencies for the general insurance industry with economic capital in view: an innovative approach with stochastic processes. This project will develop and enhance multi-dimensional models used to describe and assess the risks borne by general insurers. These innovative methods, which will be directly applicable by the industry, will strengthen the efficiency and the safety of the Australian economy.
Quantitative Analysis of Systemic Risk in Insurance. This project aims to achieve a contemporary and comprehensive quantitative analysis of systemic risk in insurance. The significance lies in narrowing the gap between the studies of systemic risk in banking and insurance. Expected outcomes include the construction of insurance/reinsurance networks to formalise systemic risk, the analysis of the role of network integration, and the development of pricing frameworks to entail a systemic risk prem ....Quantitative Analysis of Systemic Risk in Insurance. This project aims to achieve a contemporary and comprehensive quantitative analysis of systemic risk in insurance. The significance lies in narrowing the gap between the studies of systemic risk in banking and insurance. Expected outcomes include the construction of insurance/reinsurance networks to formalise systemic risk, the analysis of the role of network integration, and the development of pricing frameworks to entail a systemic risk premium. The project will benefit insurers and regulators by providing a forward-looking approach to monitoring and assessing insurance risk during a systemic crisis. These important original contributions to insurance risk management will help establish Australia’s global leadership in systemic risk.Read moreRead less
Liquidity in financial markets. This project aims to develop a theory which models the effect of liquidity on option prices under different market conditions. Economic or financial crises are inevitable and affect economics. During or after a major financial crisis, market liquidity usually becomes risky and needs to be studied. Through both empirical and theoretical explorations, this project will quantify and measure liquidity risk and its effect on the options markets. It will develop a frame ....Liquidity in financial markets. This project aims to develop a theory which models the effect of liquidity on option prices under different market conditions. Economic or financial crises are inevitable and affect economics. During or after a major financial crisis, market liquidity usually becomes risky and needs to be studied. Through both empirical and theoretical explorations, this project will quantify and measure liquidity risk and its effect on the options markets. It will develop a framework to help market regulators manage illiquidity, enhance the efficiency of option trading in illiquid markets and help in the detection of market manipulation.Read moreRead less
Forecasting and Financing Healthy Ageing and Aged Care in Australia. This project aims to quantify future risks of chronic illness and functional disability in retirement, proposing financing strategies aimed at enhancing healthy ageing, lifestyle quality and aged care provisions. The project devotes to devising a framework integrating government and private sector participation in funding health costs which increase significantly in older ages. The expected outcome includes sustainable retireme ....Forecasting and Financing Healthy Ageing and Aged Care in Australia. This project aims to quantify future risks of chronic illness and functional disability in retirement, proposing financing strategies aimed at enhancing healthy ageing, lifestyle quality and aged care provisions. The project devotes to devising a framework integrating government and private sector participation in funding health costs which increase significantly in older ages. The expected outcome includes sustainable retirement income scenarios for easing fiscal pressure from social initiatives such as age pension and aged care financing at the same time improving living standards for seniors. The project expects to place Australia at the forefront of research on sustainable solutions to financial challenges facing retirees.Read moreRead less
Systemic risk, hedge funds and modelling asymmetric dependence using a Copula approach. This project will assess whether hedge funds pose a significant systemic risk for Australia and the impact of asymmetric dependence on portfolio choice involving hedge funds. The project is timely and important as it is aimed at protecting Australia's financial system.
The impact of payout policy changes on firm value and short selling activities across different taxation regimes. Brealey et al (2011) assert that we don't know enough yet about how payout policy varies across firms. This project examines the information content of dividend changes and repurchase programs and the long-term market impact of these announcements, controlling for the substitution effect of repurchases/dividends in different institutional/tax regimes. This project also examines wheth ....The impact of payout policy changes on firm value and short selling activities across different taxation regimes. Brealey et al (2011) assert that we don't know enough yet about how payout policy varies across firms. This project examines the information content of dividend changes and repurchase programs and the long-term market impact of these announcements, controlling for the substitution effect of repurchases/dividends in different institutional/tax regimes. This project also examines whether short sellers manifest abnormal behaviour around the announcement of dividend changes and repurchase programs, and whether earnings are manipulated upwards to maintain the dividend or downwards prior to the announcement of repurchase programs. The findings will be of major interest to academics, managers, investors and regulators.Read moreRead less
Exploring returns to tone at the top: developing guidelines for effective risk management in retail financial services operations. Effective risk management is fundamental to the future of the Australian economy. This project will develop theory and managerial guidance for facilitating control in balancing risk and return in geographically distributed financial services operations. In turn, this will facilitate a more stable financial services industry and robust economy.