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

这个项目的目的是提供一系列新的、严格的、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；更好地了解风险的复杂性；以及为学生提供统计和金融关系方面的研究培训。该项目的预期成果将是投资组合中极端行为的详细知识、改进的风险校准方法、金融中非参数方法的进步、评估风险的原型从业人员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。

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.