Forecasting Risk Thresholds for Portfolio Management and Regulation

预测投资组合管理和监管的风险阈值

• 批准号: LP0562305
• 负责人: Prof David Allen
• 金额: $ 22.42万
• 依托单位: Edith Cowan University
• 依托单位国家: 澳大利亚
• 项目类别: Linkage Projects
• 财政年份: 2006
• 资助国家: 澳大利亚
• 起止时间: 2006-03-31 至 2012-08-29
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/LP0562305
• 关键词: Forecasting; Risk; Thresholds; Portfolio; Management

The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset classes, and Value at Risk (VaR) thresholds. The innovative methods and models will permit both financial institutions and regulatory authorities to model VaR thresholds more accurately, and enable investment managers to regulate and benchmark their portfolios more effectively against international best practice.

该项目将为动态风险建模、投资组合风险评估和投资组合风险阈值预测开发新的模型和方法。这些新颖的方法将在全球银行和金融机构的投资组合中广泛应用。这些技术将动态更新风险估计，更准确地预测投资组合风险、投资组合资产类别的相关性以及风险价值 (VaR) 阈值。创新的方法和模型将使金融机构和监管机构能够更准确地对风险价值阈值进行建模，并使投资经理能够根据国际最佳实践更有效地监管和衡量其投资组合。