Financial Risk
The Centre for Financial Risk brings together the Faculty’s researchers on uncertainty in capital markets. It has two strands. One strand investigates the nature and management of financial risks faced by institutions, including banks and insurance companies, using techniques from statistics and actuarial science. It is directed by Associate Professor Ken Siu. The other strand investigates the nature and management of financial risks faced by households and by the economy as a whole, using techniques from economics and econometrics. It is directed by Associate Professor Stefan Trueck. The co-directors promote research into financial risk, and the exchange of ideas and techniques between academics and practitioners.
Main areas of research include:
- Implications of dependencies between risks for financial institutions and regulators.
- Risk management for superannuation and financial plans
- Currency risk and the role of central banks
- How business cycle risks impact on asset returns
- Managing risks to electricity supplies
- Survival analysis for medical costs and insurance companies
More Information:
Working Papers
- 10-02 Stefan Trück, Conditional and Dependent Credit Migrations in a Factor Model Copula Approach
- 10-01 Wolfgang Härdle and Stefan Trück, The Dynamics of Hourly Electricity Prices
- 09-10 Anna Chernobai, Christian Menn, Svetlozar T. Rachev and Stefan Trueck, Estimation of Operational Value-at-Risk in the Presence of Minimum Collection Threshold: An Empirical Study
- 09-09 Anthony Hall and James McCulloch, A Regression Model of True Spreads in Limit Order Markets
- 09-08 Alex Badescu, Robert J. Elliott and Tak Kuen Siu, Esscher Transforms and Consumption-Based Models
- 09-07 Weihao Choo and Piet de Jong, Loss Reserving Using Loss Aversion Functions
- 09-06 Piet de Jong, Modelling Dependence between Loss Triangles Using Copulas
- 09-05 George Milunovich, Temporal Links Between Asia-Pacific and International Stock Markets
- 09-04 XiaoBing Zhao and Xian Zhou, Bivariate Archimedean Copulas for Individual Claim Loss Reserving Models
- 09-03 James McCulloch, In the Mean-Variance World there are only Hedge Traders and Price Traders
- 09-02 Geoffrey Kingston, Financial Plans for Baby Boomers: How Much Risk?
- 09-01 James McCulloch and Vladimir Kazakov, Optimal VWAP Trading Strategy and Relative Volume