Risk Measurement for Large Portfolios under the Benchmark Approach

基准法下大型投资组合的风险衡量

• 批准号: LP0562470
• 负责人: Prof Eckhard Platen
• 金额: $ 5.95万
• 依托单位: University of Technology Sydney
• 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: 2006-02-01 至 2009-08-01
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/LP0562470
• 关键词: Risk; Measurement; Large; Portfolios; under

The measurement of risk for large portfolios, consisting of basic assets and derivatives, will play a key role in future risk management systems. Based on a new characterization of asymptotic portfolios this project proposes the development, implementation and testing of highly efficient new risk measurement methodologies suitable for portfolios with hundreds or thousands of instruments. Comparisons with standard and new simulation methods will demonstrate their superiority. The outcomes of this project will give the Australian industry and the industry partner a competitive advantage in the measurement and management of risk for large portfolios as superannuation funds or portfolios of banks.

由基本资产和衍生工具组成的大型投资组合的风险计量将在未来的风险管理系统中发挥关键作用。基于渐近投资组合的新特征，该项目提出了适用于数百或数千种工具的投资组合的高效新风险度量方法的开发，实施和测试。与标准和新的模拟方法的比较将证明其优越性。该项目的成果将使澳大利亚工业和工业合作伙伴在衡量和管理大型投资组合（如养老金基金或银行投资组合）的风险方面具有竞争优势。