Risk Measurement for Large Portfolios under the Benchmark Approach

由基础资产和衍生品组成的大型投资组合的风险衡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，该项目建议开发、实施和测试适用于拥有数百或数千种工具的投资组合的高效新的风险衡量方法。与标准仿真方法和新的仿真方法的比较将证明它们的优越性。该项目的结果将使澳大利亚行业和行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。

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.