Linkage Projects - Grant ID: LP0562470

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/LP0562470

Funding Status
Closed

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Funded Activity Summary

Risk Measurement for Large Portfolios under the Benchmark Approach. The measurement of risk for large portfolios, consisting of basic assets and derivatives, will play a key role in future risk management systems. Based on a new characterization of asymptotic portfolios this project proposes the development, implementation and testing of highly efficient new risk measurement methodologies suitable for portfolios with hundreds or thousands of instruments. Comparisons with standard and new simulation methods will demonstrate their superiority. The outcomes of this project will give the Australian industry and the industry partner a competitive advantage in the measurement and management of risk for large portfolios as superannuation funds or portfolios of banks.

Funded Activity Details

Start Date: 01-02-2006

End Date: 01-08-2009

Funding Scheme: Linkage Projects

Funding Amount: $72,444.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Finance | Banking, Finance and Investment | Risk Theory

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Microeconomic issues not elsewhere classified | Computer software and services not elsewhere classified |

Other Keywords

Banking, Finance and Investment | Computer software and services not elsewhere classified | Finance | Finance and investment services | Microeconomic issues not elsewhere classified | Risk Theory | Stochastic Analysis And Modelling

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