New approaches to the statistical modelling of financial risk: combining structural information with flexible, computationally-intensive non-parametric methods

金融风险统计建模的新方法：将结构信息与灵活的计算密集型非参数方法相结合

• 批准号: DP0344083
• 负责人: Prof Rodney Wolff
• 金额: $ 6.28万
• 依托单位: Queensland University of Technology
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2003
• 资助国家: 澳大利亚
• 起止时间: 2003-07-16 至 2006-06-30
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0344083
• 关键词: New; approaches; statistical; modelling; financial

The aims of this project are to provide a range of novel, rigorous, flexible, statistical methods to assess portfolio risk, with due attention to behaviour of its constituent components; to obtain greater understanding of the complexities of risk; and to give students research training in the nexus of statistics and finance. The anticipated outcomes of this project will be detailed knowledge of extremal behaviour in portfolios, improved methods for calibrating risk, advances in non-parametric methods in finance, a prototype practitioner toolkit for assessing risk, and high-calibre graduates to contribute to Australia's research capacity.

该项目的目的是提供一系列新颖、严格、灵活的统计方法来评估投资组合风险，并适当注意其组成部分的行为；更好地理解风险的复杂性；并在统计与金融的关系方面给予学生研究训练。该项目的预期结果将是对投资组合中极端行为的详细了解，改进的校准风险的方法，金融非参数方法的进步，评估风险的原型从业者工具包，以及为澳大利亚的研究能力做出贡献的高素质毕业生。