Linkage Projects - Grant ID: LP0562305

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/LP0562305

Funding Status
Closed

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Funded Activity Summary

Forecasting Risk Thresholds for Portfolio Management and Regulation. The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset classes, and Value at Risk (VaR) thresholds. The innovative methods and models will permit both financial institutions and regulatory authorities to model VaR thresholds more accurately, and enable investment managers to regulate and benchmark their portfolios more effectively against international best practice.

Funded Activity Details

Start Date: 31-03-2006

End Date: 29-08-2012

Funding Scheme: Linkage Projects

Funding Amount: $310,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Time-Series Analysis | Finance Economics | Econometric And Statistical Methods | Applied Economics

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Microeconomic issues not elsewhere classified | Macroeconomic issues not elsewhere classified |

Other Keywords

Applied Economics | Econometric And Statistical Methods | Finance Economics | Finance and investment services | Macroeconomic issues not elsewhere classified | Microeconomic issues not elsewhere classified | Time-Series Analysis

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