Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes. This project plans to continue an ongoing theoretical study into continuous-time stochastic processes, concentrating on developing tools for the further analysis and understanding of extremal and multivariate phenomena with applications to portfolio analysis, value-at risk calculations and complex financial instruments, with particular emphasis on practical applications of the methodologies in the insurance and finance indus ....Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes. This project plans to continue an ongoing theoretical study into continuous-time stochastic processes, concentrating on developing tools for the further analysis and understanding of extremal and multivariate phenomena with applications to portfolio analysis, value-at risk calculations and complex financial instruments, with particular emphasis on practical applications of the methodologies in the insurance and finance industries. Expected outcomes would be of direct interest to these industries as well as having significant mathematical interest.Read moreRead less
Protecting Australia’s brand assets and stakeholder interests. International accounting standards have recently been harmonised to allow firms to recognise the value of purchased brands on their balance sheets, subject to an annual test to verify that value has not been impaired. There are no widely accepted methodologies with which to undertake such tests, despite the requirement for the balance sheet to provide a true and fair view of financial position. This research will develop three approa ....Protecting Australia’s brand assets and stakeholder interests. International accounting standards have recently been harmonised to allow firms to recognise the value of purchased brands on their balance sheets, subject to an annual test to verify that value has not been impaired. There are no widely accepted methodologies with which to undertake such tests, despite the requirement for the balance sheet to provide a true and fair view of financial position. This research will develop three approaches to calibrate brand impairment and draw lessons from applying them over a three year period. The outputs are twofold: first, a suite of detailed methods for accountants, auditors and financial analysts to measure and diagnose brand value; second, several key indicators that can be used to monitor signs of brand impairment.Read moreRead less
Banking System Competition and the Macro-economy. Australia has one of the most concentrated banking sectors in the world, generating concerns regarding its efficiency. This project aims to develop unified frameworks to understand and evaluate quantitatively how the structure of the banking industry affects the macro-economy and provide policy recommendations for establishing a healthy and efficient banking industry. This project expects to improve understanding of the welfare trade-off between ....Banking System Competition and the Macro-economy. Australia has one of the most concentrated banking sectors in the world, generating concerns regarding its efficiency. This project aims to develop unified frameworks to understand and evaluate quantitatively how the structure of the banking industry affects the macro-economy and provide policy recommendations for establishing a healthy and efficient banking industry. This project expects to improve understanding of the welfare trade-off between bank competition and economic well-being to enable policymakers to better determine the optimal concentration of banking sector in Australia. This will enhance the productivity and international competitiveness of Australia’s financial system and the broader economy.Read moreRead less