Quantitative Analysis of Systemic Risk in Insurance. This project aims to achieve a contemporary and comprehensive quantitative analysis of systemic risk in insurance. The significance lies in narrowing the gap between the studies of systemic risk in banking and insurance. Expected outcomes include the construction of insurance/reinsurance networks to formalise systemic risk, the analysis of the role of network integration, and the development of pricing frameworks to entail a systemic risk prem ....Quantitative Analysis of Systemic Risk in Insurance. This project aims to achieve a contemporary and comprehensive quantitative analysis of systemic risk in insurance. The significance lies in narrowing the gap between the studies of systemic risk in banking and insurance. Expected outcomes include the construction of insurance/reinsurance networks to formalise systemic risk, the analysis of the role of network integration, and the development of pricing frameworks to entail a systemic risk premium. The project will benefit insurers and regulators by providing a forward-looking approach to monitoring and assessing insurance risk during a systemic crisis. These important original contributions to insurance risk management will help establish Australia’s global leadership in systemic risk.Read moreRead less
Forecasting and Financing Healthy Ageing and Aged Care in Australia. This project aims to quantify future risks of chronic illness and functional disability in retirement, proposing financing strategies aimed at enhancing healthy ageing, lifestyle quality and aged care provisions. The project devotes to devising a framework integrating government and private sector participation in funding health costs which increase significantly in older ages. The expected outcome includes sustainable retireme ....Forecasting and Financing Healthy Ageing and Aged Care in Australia. This project aims to quantify future risks of chronic illness and functional disability in retirement, proposing financing strategies aimed at enhancing healthy ageing, lifestyle quality and aged care provisions. The project devotes to devising a framework integrating government and private sector participation in funding health costs which increase significantly in older ages. The expected outcome includes sustainable retirement income scenarios for easing fiscal pressure from social initiatives such as age pension and aged care financing at the same time improving living standards for seniors. The project expects to place Australia at the forefront of research on sustainable solutions to financial challenges facing retirees.Read moreRead less
Shock model-based framework for modelling correlated large losses. This project aims to develop aggregate risk models by utilizing shock models in reliability theory. It intends to provide a new alternative approach which is more realistic and also mathematically tractable in order to estimate various types of quantities in (re)insurance and operational risk management. The expected outcome includes enhanced capacity by advanced analytical tools to assess correlated and large risks, thus assisti ....Shock model-based framework for modelling correlated large losses. This project aims to develop aggregate risk models by utilizing shock models in reliability theory. It intends to provide a new alternative approach which is more realistic and also mathematically tractable in order to estimate various types of quantities in (re)insurance and operational risk management. The expected outcome includes enhanced capacity by advanced analytical tools to assess correlated and large risks, thus assisting in the management of key risks and improving the effectiveness of risk management. This should benefit the stability of the financial and regulatory systems where large and dependent risks are concerned.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE180100649
Funder
Australian Research Council
Funding Amount
$363,996.00
Summary
Slow diffusion of information in asset pricing and risk management. This project aims to develop a unified investment and asset pricing theory for the slow diffusion of information in financial markets, such as momentum, reversal and post-earnings announcement drift. Expected outcomes of this project include the development of optimal methods to explore historical information, a systematic understanding of the impact of investor sentiment and heterogeneity on the speed of asset price response to ....Slow diffusion of information in asset pricing and risk management. This project aims to develop a unified investment and asset pricing theory for the slow diffusion of information in financial markets, such as momentum, reversal and post-earnings announcement drift. Expected outcomes of this project include the development of optimal methods to explore historical information, a systematic understanding of the impact of investor sentiment and heterogeneity on the speed of asset price response to news, and novel empirical hypotheses and tests that improve return predictability and reduce crash risks. The project will provide a potential competitive advantage and guidance to Australian investors, including superannuation fund managers, in competitive globalised financial markets.Read moreRead less
Retirement income product innovation. This project aims to develop and assess comprehensive retirement income products to support sustainable retirement income streams for the Australian superannuation system. It will provide a framework to develop flexible structured retirement income products, taking into account the fair and effective allocation of costs and risks. Actuarial and financial analysis will highlight savings in Age Pension and aged care costs arising from more effective design of ....Retirement income product innovation. This project aims to develop and assess comprehensive retirement income products to support sustainable retirement income streams for the Australian superannuation system. It will provide a framework to develop flexible structured retirement income products, taking into account the fair and effective allocation of costs and risks. Actuarial and financial analysis will highlight savings in Age Pension and aged care costs arising from more effective design of retirement income products incorporating investment and longevity risk. It intends to develop risk sharing retirement products, risk management strategies, and longevity index-based hedging contracts to share and mitigate financial and longevity risk.Read moreRead less
Ownership linkages and the functioning of inter-firm capital markets during the Global Financial Crisis. A firm's dependence on outside funding can lead to catastrophic consequences in the face of a crisis that severely curtails the functioning of external capital markets. This project investigates how ownership linkages between firms improve their fundraising and investment capabilities even when facing substantial shocks to the financial system.
Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the ....Change Detection in Causal Relationships and Measurement of Systemic Risk. Empirical measures of interconnectedness between financial institutions based on tests of Granger causality are currently used in detecting systemic risk. However, researchers need to define periods of calm and stress exogenously in order to implement these tests appropriately. This project aims to develop a new procedure to identify changes in causal relationships and the timing of these changes. The new approach has the potential to be a significant improvement in the real-time identification of emerging turmoil in financial markets and provide an improved method for the detection of systemic risk. The new test procedure will be implemented using data for financial and non-financial institutions across Europe, the US and Australia.Read moreRead less
Towards High-Order Structure Search on Large-Scale Graphs. High-order structure search over large-scale graphs has many applications including cybersecurity, crime detection, social media, marketing recommendation, and public health. The project aims to lay the scientific foundations and develop novel computing techniques for efficiently conducting structure search. The outcomes include novel computing paradigms, algorithms, indexing, incremental computation, and distributed solutions. The succe ....Towards High-Order Structure Search on Large-Scale Graphs. High-order structure search over large-scale graphs has many applications including cybersecurity, crime detection, social media, marketing recommendation, and public health. The project aims to lay the scientific foundations and develop novel computing techniques for efficiently conducting structure search. The outcomes include novel computing paradigms, algorithms, indexing, incremental computation, and distributed solutions. The success of the project will directly contribute to the scientific foundation of Big Data computation. It will also contribute to the development of local industry involving cybersecurity, social media based recommendation, network management, and E-business.Read moreRead less
Venture capitalist networks and the financing of innovation. This project aims to understand why some venture capitalists (VCs) are more successful than others at financing start-ups. It studies the role of network connections between individual VCs, which are an important channel through which VCs accumulate specialised skills, exchange information and establish reputation. This project will analyse how these networks evolve, whether they explain an individual VC’s performance, and how network- ....Venture capitalist networks and the financing of innovation. This project aims to understand why some venture capitalists (VCs) are more successful than others at financing start-ups. It studies the role of network connections between individual VCs, which are an important channel through which VCs accumulate specialised skills, exchange information and establish reputation. This project will analyse how these networks evolve, whether they explain an individual VC’s performance, and how network-related human capital shapes the boundaries of a VC partnership. The expected outcomes will contribute insights into low capital allocation to venture capital funds the constrained formation of new venture capital partnerships by Australian institutional investors.Read moreRead less
Governance and the investment performance of not-for-profit endowments. Governance and the investment performance of not-for-profit endowments. This project aims to examine the relation between performance and governance for Australian not for profit (NFP) endowments. The not-for-profit sector now accounts for over 4 per cent of the gross domestic product (GDP) (almost $43 billion) and employs volunteers who contribute an additional $14.6 billion in unpaid work. Little research has been done on ....Governance and the investment performance of not-for-profit endowments. Governance and the investment performance of not-for-profit endowments. This project aims to examine the relation between performance and governance for Australian not for profit (NFP) endowments. The not-for-profit sector now accounts for over 4 per cent of the gross domestic product (GDP) (almost $43 billion) and employs volunteers who contribute an additional $14.6 billion in unpaid work. Little research has been done on the investment performance of the endowments held by NFPs, even though this is an important contributor to their revenues. Expected outcomes include a publicised set of principles and periodically updated index of endowment governance quality, and attendant improvement in NFP investment management.Read moreRead less