A new theoretical approach to pension fund economics, asset management and insurance. A new generation of sustainable pensions will be proposed, which can, in the long term, increase several times the level of pension payouts. The groundbreaking underlying theoretical approach suggests a paradigm shift and dramatic improvements in the performance of pensions and other long dated contracts in asset management and insurance.
Extreme Value Theory Approaches to Insurance in a Catastrophic Environment. Recent decades are marked by numerous significant natural (climate change) or man-made (financial crises) catastrophes, which have significantly altered the landscape of the insurance industry. These have potentially significant negative impacts on the availability and affordability of insurance, and hence on the capability and capacity of households and businesses to take risks and be competitive. This project endeavour ....Extreme Value Theory Approaches to Insurance in a Catastrophic Environment. Recent decades are marked by numerous significant natural (climate change) or man-made (financial crises) catastrophes, which have significantly altered the landscape of the insurance industry. These have potentially significant negative impacts on the availability and affordability of insurance, and hence on the capability and capacity of households and businesses to take risks and be competitive. This project endeavours to establish progressive approaches (using extreme value theory) to the challenges faced by insurance in such a catastrophic environment. They will enhance the financial stability and competitivity of the Australian economy, and further establish its global leadership in dealing with climate changes and catastrophes.Read moreRead less
Better communication to solve the under-saving, under-spending puzzle. This project expects to develop evidence-based communication tools that promote life-time financial security, specifically investigating the puzzling and harmful tendency of people to under-save while working and under-spend while retired. To achieve this goal, it will design and experimentally validate innovative boosts to superannuation communication including income projections and goal-setting targeted at common misconcep ....Better communication to solve the under-saving, under-spending puzzle. This project expects to develop evidence-based communication tools that promote life-time financial security, specifically investigating the puzzling and harmful tendency of people to under-save while working and under-spend while retired. To achieve this goal, it will design and experimentally validate innovative boosts to superannuation communication including income projections and goal-setting targeted at common misconceptions and biases. It will use new structural modelling techniques to measure welfare changes. The expected outcomes are rigorous explanations for the saving-spending puzzle, and robust communication strategies for superannuation funds that will benefit workers and retirees by raising financial capability and confidence.Read moreRead less
The adequacy and sustainability of self-managed superannuation funds: Governance, performance, asset allocation, fee structure and compliance. This project will provide research to aid decision makers in policy formation and setting on governance, regulatory and performance issues relating to Self-Managed Superannuation Funds (SMSFs), which now make up the largest proportion of superannuation assets, accounting for over 30% of the total $1.1 trillion of superannuation assets in Australia. Empir ....The adequacy and sustainability of self-managed superannuation funds: Governance, performance, asset allocation, fee structure and compliance. This project will provide research to aid decision makers in policy formation and setting on governance, regulatory and performance issues relating to Self-Managed Superannuation Funds (SMSFs), which now make up the largest proportion of superannuation assets, accounting for over 30% of the total $1.1 trillion of superannuation assets in Australia. Empirically driven advice to the Government and the general community on these issues is of substantial importance given the need for retirees to be self-financing and the current adverse conditions experienced in today's financial environment. Research stemming from this project will highlight the value proposition SMSFs may or may not be providing to the superannuation industry.Read moreRead less
Novel econometric techniques for dealing with point processes in high frequency financial data with applications to financial risk management. The recent global financial crisis highlighted the inherent risk involved in investing in financial assets. This project aims to develop novel statistical methods for forecasting the onset of instability in asset prices. The outcomes of this research will lead to improvements in the management of financial risk.
Understanding the Impact of Sovereign Wealth Funds on the Financial Markets. This project aims not only to reveal the impact of sovereign wealth fund (SWFs) on Australian international stock markets, but also to assess their investment behaviour. An SWF is an investment fund managed by a government or other organisation on behalf of a sovereign state. The impact of SWFs on international financial markets and their behaviour are of great importance to market participants as well as policy-makers. ....Understanding the Impact of Sovereign Wealth Funds on the Financial Markets. This project aims not only to reveal the impact of sovereign wealth fund (SWFs) on Australian international stock markets, but also to assess their investment behaviour. An SWF is an investment fund managed by a government or other organisation on behalf of a sovereign state. The impact of SWFs on international financial markets and their behaviour are of great importance to market participants as well as policy-makers. The project aims to measure the systemic risk contribution of SWFs and to analyse the anti-takeover provisions of SWFs’ target firms. In addition, the project aims to understand the relation between anti-takeover provisions and target firm value and will examine the role of SWFs as a socially responsible investor. The expected outcomes will improve our understanding of the impact of SWFs on the Australian financial markets in terms of social and economic wellbeing.Read moreRead less
Mathematical models for water management systems. The Australian community is currently talking about schemes to return water to the Murray-Darling river system to combat increased salinity and dramatically reduced river flow. Many believe that vastly improved water management policies are essential to maintain agricultural well-being in Australia. Salinity and water quality depend directly on flow rates and are also important in smaller catchments. In this study we will use statistical rainf ....Mathematical models for water management systems. The Australian community is currently talking about schemes to return water to the Murray-Darling river system to combat increased salinity and dramatically reduced river flow. Many believe that vastly improved water management policies are essential to maintain agricultural well-being in Australia. Salinity and water quality depend directly on flow rates and are also important in smaller catchments. In this study we will use statistical rainfall models and stochastic dynamic programming to find practical water management policies that minimise the risk to water supply. We will develop an interactive simulation and management tool using a modern computer graphics package.Read moreRead less
A graphical simulation package for optimal management and risk assessment in urban stormwater harvesting systems. We will develop a Scalar Vector Graphics (SVG) simulation tool for optimal management and risk assessment in urban stormwater harvesting and utilisation schemes. The generic model will be applied to existing and proposed schemes within the City of Salisbury (CoS) and will include a capture dam, one or more storage dams and an aquifer storage and recovery (ASR) facility. The discret ....A graphical simulation package for optimal management and risk assessment in urban stormwater harvesting systems. We will develop a Scalar Vector Graphics (SVG) simulation tool for optimal management and risk assessment in urban stormwater harvesting and utilisation schemes. The generic model will be applied to existing and proposed schemes within the City of Salisbury (CoS) and will include a capture dam, one or more storage dams and an aquifer storage and recovery (ASR) facility. The discrete state vector will be the content of each storage unit and the daily transition will be driven by a new stochastic rainfall model (SRM). The objective will be to find a practical management policy that minimises Conditional Value-at-Risk (CVaR).Read moreRead less
Systemic risk, hedge funds and modelling asymmetric dependence using a Copula approach. This project will assess whether hedge funds pose a significant systemic risk for Australia and the impact of asymmetric dependence on portfolio choice involving hedge funds. The project is timely and important as it is aimed at protecting Australia's financial system.
Exploring returns to tone at the top: developing guidelines for effective risk management in retail financial services operations. Effective risk management is fundamental to the future of the Australian economy. This project will develop theory and managerial guidance for facilitating control in balancing risk and return in geographically distributed financial services operations. In turn, this will facilitate a more stable financial services industry and robust economy.