Research and Networks
Department of Applied Finance and Actuarial Studies
We have strong research networks among staff and in collaboration with researchers from other disciplines. Our enriched and diversified research agendas and platform ensures we are leading at the forefront of research both internationally and in Australia.
Our six key research networks encompassing a variety of research themes:
- Commodity markets & climate impacts;
- Human factors in business and finance;
- Risk, data analytics and insurance;
- Banking and regulation;
- Financial and actuarial mathematics; and
- Corporate finance and governance
Commodity markets and climate impacts
Mining and the export of natural resources are vital contributors to the Australian economy. Commodity prices are highly dependent on expectations about economic growth but also on climate change adaptation policies that might enhance the use of renewable resources for energy production.
This research network focuses on econometric models and their application to commodity, energy, weather derivative and carbon emission markets. It aims to describe the complex behaviour and structure of these markets and to quantify financial and economic risks. The network’s research also measures the risks of climate impacted hazards on the Australian economy and evaluates strategies for mitigation and adaptation to climatic change. Finally, it aims to relate the impact of renewable energy policies to Australian commodity and financial markets.
Human factors in business and finance
This cross-disciplinary research group draws together strengths in finance, accounting, economics, management, ethics, psychology, financial literacy and linguistics to develop understanding of human behaviour in financial contexts. We are interested in how humans behave within financial institutions and how individuals make financial decisions and interpret financial information, using frameworks that are broader than those traditionally used by scholars of economics and finance.
The research findings inform regulation and the governance/culture of financial institutions to increase their resilience. It further guides the design of financial reports, products and services to better meet the needs of consumers and build prosperity.
Risk, data analytics and insurance
Modelling and management of risk is crucial to
ensure the financial security and prosperity of individuals
and the effective operation of insurance and financial markets. The
rise of Big Data is increasing the need for data analytic techniques to model,
price, analyse and manage financial risks, in addition to creating major
changes in the nature of insurance and financial products and services.
This research network develops and applies innovative quantitative and data analytic techniques to model and manage financial risk. Projects undertaken include modelling and forecasting of disability, mortality and longevity risk, valuation of insurance products, and risk management strategies including reinsurance, hedging and risk control.
Banking and regulation
Banking is critical to the success of the any economy. Over the past twenty years the Australian banking sector has experienced both significant changes and unprecedented growth, and has recently been the subject of an extensive financial system enquiry whose recommendations are currently being implemented. The question of appropriate market behaviour has also arisen as the sector seeks to balance the competing objectives of systemic stability, shareholder returns, customer value and regulatory compliance.
Research in this network provides insights into the performance, governance and strategic interactions of financial institutions, and the costs and benefits of regulating their activities. Current topical projects investigate Australian bank capital, and international bank regulation and governance, including bank capital and provisioning buffers, implicit subsidies evident in bond spreads, the impact of capital requirements on bank funding costs, determinants and outcomes of bank risk governance in the post-crisis period, and the effects of diversification in banking organisations.
Financial mathematics and actuarial mathematics
These, by their very nature, are multi-disciplinary research fields which draw on techniques and methodologies from the disciplines such as mathematics, statistics, economics, finance and computing to solve theoretical and applied problems arising from the finance and insurance industries. The two research fields have traditionally been closely linked and their interactions have flourished the developments of many theories and models which deepen our understanding to both the theories and practices of some major problems in both the finance and insurance industries.
The aim of this research network is to explore the interactions between financial mathematics and actuarial mathematics so as to create fruitful impacts on the two research fields and some related quantitative fields. Some examples of research topics are, but certainly not limited to:
- option pricing and hedging
- quantitative risk measurement and management
- optimal asset allocation
- statistical models in finance and insurance
- life insurance mathematics
- non-life insurance mathematics
- pension fund mathematics
- advanced quantitative analytics, amongst others.
Corporate finance and governance
This research group promotes practically useful research on the behaviour of firms and their relationship with capital markets. The main research areas are the impact of corporate governance on firm outcomes, including executive compensation, boards of directors and CEOs; the governance of financial institutions; corporate strategy and corporate investment; valuation; and interactions between financial markets and corporate decisions. These issues are examined in large financial markets such as the U.S. and Australia, and in emerging markets and Islamic economies.