Linkage Projects - Grant ID: LP0455464

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/LP0455464

Funding Status
Closed

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Funded Activity Summary

An Integrated Approach to Credit Risk Management and the Valuation of Credit Derivatives. Financial positions subject to risk of default typically involve three components: risk which is traded, diversifiable or neither. The project will analyse the relationship of these default risk components by rigorously modeling default dependence between obligors and harnessing the information in liquid market prices, such as credit spreads. On the basis of risk capital allocation, it will eliminate the arbitrariness in pricing non-traded risks. This will yield an integrated credit risk management methodology ready for the next generation of regulatory requirements currently under discussion by the Basel Committee on Banking Supervision.

Funded Activity Details

Start Date: 22-03-2005

End Date: 31-03-2008

Funding Scheme: Linkage Projects

Funding Amount: $70,668.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Finance | Banking, Finance and Investment

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services |

Other Keywords

Banking, Finance and Investment | Finance | Finance and investment services

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