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New methods for modelling and forecasting risk
This project develops and assesses risk measures and risk forecasting. It assesses why customary measures failed in the financial crisis and develops new and better techniques.
The project is unique in terms of the scope and range of methods to applied and tested. This is of value to investors, institutions and regulators alike.
Research questions:
- Which existing data sources and modelling techniques provide the most accurate and timely indicators of risk?
- How can these risk indicators be improved through new innovative methods?
Research Methods:
Support Vector Machines (SVM) for regression, Merton-KMV structural modelling, realised volatility models, quantile regressions and CAViaR, portfolio spillover GARCH, Conditional Value at Risk (CVaR) and EVT (Extreme Value Theory).
Researchers:
- Professor David Allen, Lead Chief Investigator
- Professor Robert Powell, Chief Investigator
- Mr Akhmad Kramadibrata, Research Assistant
- Professor Lyn Thomas, Partner Investigator (University of Southampton)
- Dr Ahbay Kumar Singh, (Post Doctoral Research Fellow)
- Professor James Taylor, Partner Investigator (Oxford University)
- Profesor Michael McAleer, Partner Investigator (Ersamus University of Rotterdam)
Funding body:
Australian Research Council, Discovery Projects grant.
Timeline:
January 2011 - December 2013