Linkage Projects - Grant ID: LP0453787

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/LP0453787

Funding Status
Closed

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Funded Activity Summary

New models and valuation methods for portfolio credit derivatives. Portfolio credit derivatives provide a mechanism to simultaneously transfer credit exposures to a large number of counterparties within a single transaction. However, no generally accepted valuation model for such credit portfolios is currently available. This project aims to develop new mathematically-based technologies to allow institutions such as Westpac (the Industry Partner) to optimally manage their credit exposures. The outcome will be a class of superior models and operational risk management tools that will ensure the value and risks of these transactions are properly understood and accurately quantified. These models will enhance both the knowledge base of the industry and academic scholarship.

Funded Activity Details

Start Date: 30-11-2004

End Date: 29-08-2010

Funding Scheme: Linkage Projects

Funding Amount: $85,668.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Statistics | Mathematical Economics | Banking, Finance And Investment Not Elsewhere Classified

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Mathematical sciences |

Other Keywords

Banking, Finance And Investment Not Elsewhere Classified | Finance and investment services | Mathematical Economics | Mathematical sciences | Statistics | Stochastic Analysis And Modelling

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