Discovery Projects - Grant ID: DP0881460

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0881460

Funding Status
Closed

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Funded Activity Summary

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.

Funded Activity Details

Start Date: 28-03-2008

End Date: 27-03-2011

Funding Scheme: Discovery Projects

Funding Amount: $240,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Statistics

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services |

Other Keywords

Finance and investment services | Statistics | Stochastic Analysis And Modelling

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