Skip to Content

Financial Risk News and events

Featured News

CIFR grant to investigate MySuper

YAn important research project focusing on default superannuation has attracted funding from the Centre for International Finance and Regulation (CIFR).

The grant has been awarded to a team led by Prof Stefan Trueck, co-director of the Centre for Financial Risk to investigate 'The MySuper Default Option: Assessing Portfolio Diversification, Suitability for Contributors and Performance of Superannuation Investment Strategies'.

Post Doctoral Research Fellow, Yuri Salazar, will also be involved extensively in the work.

 

Read the full story and Project summary

decorative

Past Events

Financial Risk Day 2014

A multi-strand conference examining superannuation and investment risk, including asset classes, fund compositions, business conditions and systemic risks.

The conference provided perspectives from academics, regulators, retail and industry super funds, and asset class managers.

  • Financial Risk 2014
  • Date: 14th March 2014
  • Time: 9am - 5pm
  • Venue: Vibe Hotel North Sydney (opp Milsons Point station)
  • Speakers include:
    • Prof Stefan Trueck and Prof Jeff Sheen, Macquarie University
    • Dr James Cummings, Macquarie University
    • Prof Wolfgang Haerdle, Humboldt University of Berlin
    • Prof Andrew Ferguson, UTS Sydney
    • Craig Roodt, APRA
    • Scott Tully, Colonial First State

Risk Day 2014 was generously sponsored by the Centre for International Finance and Regulation (CIFR)

Visit the Financial Risk Day 2014 website for more information, including speaker presentations

decorative

Negotiating the Retirement Risk Zone

Photo of Geoff KingstonA half-day conference looking at important new research in superannuation

Date: Friday 13 December, 2013
Time: 9am -1pm
Venue: Henry Lawson Room, Sydney Harbour Marriott, 30 Pitt Street

More information on the Negotiating the Retirement Risk Zone conference

decorative

2013 PhD Workshop a great success

PhD Students enjoyed the camaraderie of the 2013 PhD AFAS|Econ Workshop, but also took away plenty of constructive criticism of their work-in-progress.

Image of PhD Workshop 24th September

Date: Tuesday 24 September 2013
Location: MGSM, Macquarie University

Keynote speaker, Professor Terry Walter, offered considered feedback and insights on how to sharpen their research approaches to ensure strong final theses.

See the full event details here

decorative

Project in the Spotlight

Leading researchers presented at the CIFR Symposium on the 8th August 2013 by Centre for Financial Risk co-directors Professor Jeffrey Sheen and Professor Stefan Trueck, with Dr Ben Wang and Dr Chi Truong.

See the full news story on the CIFR Symposium and our project

decorative

Financial Risk Day 2013

The Centre for Financial Risk presented the 3rd Macquarie Financial Risk Day - Financial Stability, Sovereign and Systemic Risk.

Financial Risk day 2013

Speaker videos and presentations and photos from the Financial Risk Day 2013 are now available for download!

See the full event details here

decorative

Half-day workshop with Professor Edward AltmanProfessor_Edward_Altman

In a return visit to Macquarie University, Professor Edward Altman, (Stern School of Business, New York University) presented the following workshop:

  • Title: Credit Risk and Investment Management
  • Date: Wednesday 27 March 2013
  • Time: 9am-1pm
  • Location: Macquarie University's Applied Finance Centre, Level 3, 10 Spring Street, Sydney

See the full event details here

decorative

2nd Energy Finance Christmas Workshop

The highly successful workshop was held in Sydney in the lead up to Christmas.

Sydney harbour on a sunny day

More on the 2nd Energy Finance Christmas Workshop

decorative

6th Methods in International Finance Network (MIFN) Conference

The Departments of Economics and Applied Finance and Actuarial Studies, in conjunction with the Centre for Financial Risk, at Macquarie University hosted The 6th Methods in International Finance Conference on 24-25 August.

Sydney harbour bridge on a sunny day

Papers were presented on diverse topics covering:

  • International Finance
  • Applied Finance and Macroeconomics, and
  • Applied Econometrics

More on the Methods in International Finance Network (MIFN) Conference

decorative

Past workshops and seminars

2012

Past Seminars and workshops (2012)

The Term-Structure of Risk and Forward Premiums in Currency Futures Markets

Applications of Text Analytics and Network Modelling in Finance: Some Applications

  • When: Wednesday 28 March 2012
  • Speaker: Professor Sanjiv Das, Professor of Finance at Santa Clara University

Professor Sanjiv Das is Professor of Finance at Santa Clara University's Leavey School of Business. Prof Das has previously held faculty appointments at Harvard Business School and UC Berkeley. He also holds post-graduate degrees in finance and computer science. Before becoming an academic, he worked in the derivatives business in the Asia-Pacific region and was a vice president for Citibank Asia. He is a senior editor of The Journal of Investment Management and co-editor of The Journal of Derivatives.

Prof Das is also a speaker at Financial Risk Day on Friday 30 March.

Black swans or dragon kings? A simple test for deviations from the power law

  • When: Wednesday 21 March 2012
  • Speaker: Professor Rafal Weron, Professor of Economics at Wroclaw University of Technology

We develop a simple test for deviations from power law tails. Actually, from the tails of any distribution. We use this test - which is based on the asymptotic properties of the empirical distribution function - to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon kings or `only' as black swans.

Risk patterns and correlated brain activities. Multidimensional statistical analysis of MRI data with application to risk patterns.

  • When: Friday 9 March 2012
  • Speaker: Alena Mysickova (Max Planck Institute, Berlin),

Decision making usually involves uncertainty and risk. Understanding which parts of the human brain are activated during decisions under risk and which neural processes underly (risky) investment decisions are important goals in neuroeconomics. Here, we reanalyze functional magnetic resonance imaging (fMRI) data on 17 subjects which were exposed to an investment decision task from Mohr et al. (2010b). We obtain a time series of three-dimensional images of the blood-oxygen-level dependent (BOLD) fMRI signals. Our goal is to capture the dynamic behaviour of specific brain regions of all subjects in this high-dimensional time series data, by a flexible factor approach resulting in a low dimensional representation. We apply a panel version of the dynamic semiparametric factor model (DSFM) presented in Park et al. (2009) and identify task-related activations in space and dynamics in time. Further, we classify the risk attitudes of all subjects based on the estimated low- dimensional time series. Our classification analysis successfully confirms the estimated risk attitudes derived directly from subjects' decision behaviour.

Download PDF of "Risk Patterns and Correlated Brain Activities" (3.6MB)

Implied volatility surfaces presentation using a smoothing filter based on fuzzy transformation.

  • When: Friday 3 February 2012
  • Speaker: Tomas Tichy (Technical University Ostrava)

Abstract: We suggest a new alternative method for modelling implied volatility surfaces. The approach is based on discrete functions using the fuzzy transform introduced by Perfilieva (2006). We generalize a recently proposed smoothing filter based on the fuzzy transform to obtain better control on the smoothed functions. For this purpose, a generalization of the concept of fuzzy partition is suggested and the smoothing filter is defined as a combination of the direct discrete fuzzy transform and a slightly modified inverse continuous fuzzy transform. The approximation behaviour, total variation of smoothed functions and statistical properties including the description of the white noise reduction and the asymptotic expression of bias and variance are investigated and discussed. The proposed filter is compared with the Nadaraya-Watson estimator and the results are illustrated using financial data. Within the analysis provided in Holcapek and Tichy (2011), we have suggested a smoothing filter based only on one independent variable. However, many real world problems, including the presentation of option volatility surfaces, are multidimensional in nature. Hence we generalize the fuzzy smoothing filter into two/n dimensions and show its application within a common problem of financial engineering and asset pricing, including some possible extensions.

2011

Financial Risk Workshop

2011 Fiancial Risk Day large

Speakers at the 25 November Financial Risk Workshop (l-r) Prof Daniel Roesch, A/Prof Ken Siu, Dr Benjamin Avanzi, Dr Valentyn Panchenko, Prof Carl Chiarella, Prof Stefan Trueck and Prof Rodney Wolff. Read more about 2011 Financial Risk Workshop

An analytical formula for VIX futures and its applications

  • When: Wed 14th December, 2011
  • Speaker: Dr Guanghua Andy Lian, Lecturer in Applied Mathematics, Auckland University of Technology, New Zealand.

In this seminar we present a closed-form, exact solution for the pricing of VIX futures in a stochastic volatility model with simultaneous jumps in both the asset price and volatility processes. The newly-derived formula is then used to show that the well-known convexity correction approximations can sometimes lead to large errors. Utilizing the newly-derived formula, we also conduct an empirical study, the results of which demonstrate that the Heston stochastic volatility model is a good candidate for the pricing of VIX futures. While incorporating jumps into the underlying price can further improve the pricing of VIX futures, adding jumps to the volatility process appears to contribute little improvement for pricing VIX futures. This is joint work with Song-Ping Zhu.

How to Hedge if the Payment Date is Uncertain?

  • When: Wed 7 December
  • Speaker: Alexander Merz , Georg-August-Universität Göttingen

This seminar considers the hedging of price risk if the payment date is uncertain, a problem that frequently occurs in practice. It derives and establishes the variance-minimizing hedging strategy, using forward contracts with different times to maturity. The resulting strategy fully hedges the expected price exposure for each possible payment date and is therefore easy to implement. An empirical study compares the performance of the variance-minimizing strategy with heuristic alternatives, using commodity prices and exchange rates. Our analysis shows that the variance-minimizing strategy clearly outperforms all the alternatives.

Cointegration and stochastic correlations: Application to the pricing of commodity derivatives

  • When: Wed 9th November, 2011
  • Speaker: Dr Jing Zhao, Lecturer in Finance, School of Economics and Finance, La Trobe University

Cointegration and stochastic correlations, including stochastic volatilities, are statistically significant for the spot prices of crude oil and gasoline. As these commodities are not traded on exchange, their futures prices provide us with strong empirical support that cointegration contributes significantly to the stochastic movements of their convenience yields in addition to their storage costs. We develop continuous-time dynamics of cointegrated assets with a stochastic covariance matrix to capture the effects of cointegration and stochastic correlations. Our proposed model allows us to super-calibrate the cointegration parameters by fitting to the observed term structure of futures prices. We demonstrate the model's use in valuing options on a single commodity and on multiple commodities using Fourier transform techniques.

2010

Market risk estimation for FX sensitive portfolio by Lévy marginals and ordinary copulas

  • Speaker: Tomas Tichy
  • Date: 6th December, 2010
  • Venue: Seminar room Level 5, Building E4A

Postgraduate Programs & Industrial Projects and Support (with discussions)

  • Speaker: Xiaoqiang Cai
  • Date: 2nd December, 2010
  • Venue: Seminar room 523 Level 5, Building E4A

Collaboration in Portfolio Selection and Investment: A Multi-Period Cooperative Game

  • Speaker: Xiaoqiang Cai
  • Date: 29th November, 2010
  • Venue: Seminar room 623 Level 6, Building E4A

A Kindergarten Guide to Modern Monetary Theory

  • Speaker: Frank Ashe
  • Date: 22nd November, 2010
  • Venue: Seminar room Level 6, Building E4A

Valuation of Crude Oil and Gas Reserves

  • Speaker: Richard Heaney
  • Date: 16th November, 2010
  • Venue: Seminar room Level 5, Building E4A

Pricing Temperature Risk

  • Speaker: Brenda Lopez Cabrera
  • Date: 23th September, 2010
  • Venue: Seminar Room Level 5, Building E4A

Expected Option Returns and the Structure of Jump Risk Premia

  • Speaker: Christian Schlag
  • Date: 23rd September, 2010
  • Venue: Seminar Room Level 5, Building E4A

Three day workshop on Asset Allocation and Continuous-Time Financial Models

  • Speakers: Prof. Christian Schlag from Goethe University Frankfurt, Germany
  • Date: 21 - 23rd September, 2010
  • Venue: E6A 109

Shape-Preserving Interpolation and Smoothing for Options Market Implied Volatility

  • Speaker: Liqun Qi
  • Date: 6th September, 2010
  • Venue: Seminar Room Level 6, Building E4A

An Empirical Comparison of Alternate Regime-Switching Models for Electricity Spot Prices

  • Speaker: Rafal Weron
  • Date: 18th August, 2010
  • Venue: Seminar Room Level 6, Building E4A

News

Photo relating to Professor Tom Nohel on Leverage DecisionsProfessor Tom Nohel on Leverage Decisions

In his 'first visit below the equator', Professor Tom Nohel, Loyola University, Chicago, delivered a stimulating seminar on Leverage Decisions in Portfolio Management


Photo relating to CFR welcomes new member Fan YuCFR welcomes new member Fan Yu

Dr Fan Yu has joined the Centre for Financial Risk as its newest member.


Photo relating to Masterclass with Professor Marco PaganoMasterclass with Professor Marco Pagano

Top academic Professor Marco Pagano, University of Napoli Federico II, will present a week-long FIRN Masterclass for PhD students on Market Microstructure between Monday 28 September and Friday 2 October at Macquarie University.


Photo relating to Visit by world leader in econometricsVisit by world leader in econometrics

Almost 40 people attended the workshop at MGSM on 25 February presented by Professor Helmut Luetkepohl from Freie University of Berlin.


Photo relating to Focus on Discrete Time Finance Focus on Discrete Time Finance

Prof Rudi Zagst, Technical University of Munich, presented a three-day course on Discrete Time Finance as part of a month-long visit to Macquarie University in March 2015.


Photo relating to Financial Risk Day 2015 mentioned in Banking DayFinancial Risk Day 2015 mentioned in Banking Day

Macquarie University's Financial Risk Day 2015 mentioned in Banking Day


Photo relating to Financial Risk Day 2015 mentioned in Insurance News Financial Risk Day 2015 mentioned in Insurance News

Macquarie University's Financial Risk Day 2015 mentioned in "Insurance News"


Photo relating to Econometrics Workshop with top academicEconometrics Workshop with top academic

Professor Sébastien Laurent, IAE Aix en Provence, presented a vibrant and rigorous financial econometrics workshop onTuesday 16 December to almost 30 participants.


Photo relating to Financial Risk Day 2014Financial Risk Day 2014
Find out about what went on at the Financial Risk Day 2014, hosted on the 14th March.

Photo relating to CIFR Grant to investigate MySuperCIFR Grant to investigate MySuper
An important research project focusing on default superannuation has attracted funding from the Centre for International Finance and Regulation (CIFR).

Photo relating to 2013 PhD Workshop a great success2013 PhD Workshop a great success
PhD Students enjoyed the camaraderie of the 2013 PhD AFAS|EconWorkshop, but also took away plenty of constructive criticism of their work-in-progress.

Photo relating to Project in the SpotlightProject in the Spotlight

Leading researchers present at CIFR Symposium


Photo relating to Assessing risk culture so banks stay strongAssessing risk culture so banks stay strong

Banks are being sought to take part in an important research project investigating corporate risk culture.


Photo relating to Financial Risk Day 2013 PhotosFinancial Risk Day 2013 Photos
Photos from the Financial Risk Day 2013 are now available to view.

Photo relating to Research team develops Excel based decision support tool for investments into climate change adaptationResearch team develops Excel based decision support tool for investments into climate change adaptation
A research team including researchers from Macquarie University's Centre for Financial Risk has developed a new Excel based decision-support tool for investments into climate change adaptation.

Photo relating to Risk Day Videos Now AvailableRisk Day Videos Now Available
Professor Ed Altman is among the speakers whose presentations can now be viewed.

Photo relating to Prominent debt expert's visitProminent debt expert's visit
Professor Edward Altman from the Stern School of Business, New York University visited the Centre for Financial Risk from 15 March – 15 April.

Photo relating to Big grants for top researchersBig grants for top researchers

CFR members have been awarded three important grants by the CIFR.


Photo relating to PhD seminar success PhD seminar success

Innovative ideas and fresh research were showcased at the AFAS-CFR PhD Workshop held on 30 October at Macquarie Graduate School of Management.


Photo relating to Professor Wolfgang Haerdle visits the Centre for Financial RiskProfessor Wolfgang Haerdle visits the Centre for Financial Risk
Professor Wolfgang Härdle is the director of the Ladislaus von Bortkiewicz Chair of Statistics at the Department of Economics and Business Administration at Humboldt-University Berlin.

Photo relating to 2nd Energy Finance Christmas Workshop2nd Energy Finance Christmas Workshop

Photo relating to Climate adaptation tool Climate adaptation tool

$175,000 grant awarded


Photo relating to Grant for super strategiesGrant for super strategies
Project aims to develop strategies to improve super advice