The Modelling and Assessment of Credit Default Risk

信用违约风险的建模与评估

• 批准号: DP0773965
• 负责人: Prof Carl Chiarella
• 金额: $ 31.3万
• 依托单位: University of Technology Sydney
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2007
• 资助国家: 澳大利亚
• 起止时间: 2007-02-01 至 2011-01-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0773965
• 关键词: Modelling; Assessment; Credit; Default; Risk

This project will deliver an enhanced set of methodologies for the quantification and management of credit default risk. These outcomes will benefit researchers both in academia and in Australian financial institutions as research into credit risk has been active in recent years, due to the impending adoption by financial institutions of the Basel II accord on risk assessment. The outcomes will provide a strong academic methodology applied to credit default risk by Australian financial institutions and the Australian financial regulator. This research has the potential to enhance the competitivemess of Australia's financial sector.

该项目将为信用违约风险的量化和管理提供一套改进的方法。这些结果将使学术界和澳大利亚金融机构的研究人员受益，因为近年来，由于金融机构即将采用巴塞尔协议II的风险评估，对信用风险的研究一直很活跃。研究结果将为澳大利亚金融机构和澳大利亚金融监管机构适用于信用违约风险提供强有力的学术方法。这项研究有可能提高澳大利亚金融部门的竞争力。