Discovery Projects - Grant ID: DP0344083

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0344083

Funding Status
Closed

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Funded Activity Summary

New approaches to the statistical modelling of financial risk: combining structural information with flexible, computationally-intensive non-parametric methods. The aims of this project are to provide a range of novel, rigorous, flexible, statistical methods to assess portfolio risk, with due attention to behaviour of its constituent components; to obtain greater understanding of the complexities of risk; and to give students research training in the nexus of statistics and finance. The anticipated outcomes of this project will be detailed knowledge of extremal behaviour in portfolios, improved methods for calibrating risk, advances in non-parametric methods in finance, a prototype practitioner toolkit for assessing risk, and high-calibre graduates to contribute to Australia's research capacity.

Funded Activity Details

Start Date: 16-07-2003

End Date: 30-06-2006

Funding Scheme: Discovery Projects

Funding Amount: $90,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Econometric And Statistical Methods | Econometrics |

ANZSRC Socio-Economic Objective (SEO)

Economic issues not elsewhere classified | Mathematical sciences

Other Keywords

Econometric And Statistical Methods | Econometrics | Economic issues not elsewhere classified | Mathematical sciences | Stochastic Analysis And Modelling

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