Centre for Financial Risk
The Centre for Financial Risk investigates uncertainty in capital markets. Our researchers examine the spectrum of financial risks faced at all levels of the economy. The centre promotes greater stability and good decision-making by businesses, individuals, government and regulators.
The nature and management of financial risks is investigated by a team of leading inter-disciplinary researchers with expertise in financial economics, econometrics and innovative modelling approaches.
Our research covers:
- International and domestic issues
- regulation and government policy
- banking, finance and asset pricing
- insurance and risk analysis
- energy and utility markets
- climatic change and catastrophic risks
- complex industry and corporate issues
- behavioural economics and financial literacy
The centre promotes:
- The exchange of ideas and techniques between academics, industry, practitioners and emerging researchers
- Pioneering research projects that deal with real-world problems
- The annual Financial Risk Day Conference
- A program of seminars, workshops and masterclasses:
|Date & Venue||Time||Event||Further information|
|Monday 5 Sept |
|2pm-5.30pm||Centre for Financial Risk/AFAS|
|Five PhD students present their work at this annual workshop, with feedback from discussants and question time|
|The venue is located on the corner of Eastern Ave and Wally's walk; enter via E6A||RSVP to email@example.com by 2pm on Wednesday 31 August|
Risk-based projects conducted by Centre for Financial Risk members include:
- Managing systemic risk through development of a real-time business conditions indicator
- The impact of business cycle risks on asset returns
- Risk management in superannuation and financial plans
- Currency risk and the role of central banks
- Risks associated with climate change
- Managing risks to electricity supplies
- Survival analysis for medical costs and insurance companies
- Dependency between risks and implications for financial institutions and regulators
Collaborate with us
We collaborate with industry, regulators, governments and leading overseas universities to ensure research outcomes are robust, realistic and relevant. We offer optimal value to our research partners through our pragmatic, commercially-aware and creative approach.
- Early-Warning Systems and Managing Systemic Risks using Real-Time Financial and Business Conditions Indicators (CIFR - E034)
- The MySuper Default Option: Assessing Portfolio Diversification, Suitability for Contributors and Performance of Superannuation Investment Strategies (CIFR - SUP005)
- Elements of Risk Governance and Culture (CIFR - E039)
- Regulation of Financial Plans and Allocated Pensions (CIFR - E045)
- The Cost of Living Longer: Projecting the Effects of Prospective Mortality Improvements on Economic Support Ratios for a Selection of OECD Countries
- Modeling climate impacted risk with generalized additive models with location, scale and shape
Financial risk news and events
The 6th annual Financial Risk Day Conference was held on Friday 18 March. This year’s theme, Banking, Investment and Property Risk: Booms, Bubbles & Busts, led to robust discussion arising from the dynamic presentations.
Luci Ellis, Head of Financial Stability Department, Reserve Bank of Australia
Financial Risk Day 2016 brought together representatives of industry, academia and regulatory bodies for our balanced program.
- Luci Ellis, Head of Financial Stability Department, Reserve Bank of Australia
- Christopher Joye, Director, Smarter Money Investment, Contributing Editor, The Australian Financial Review
- Michael McCarthy, Chief Market Strategist, CMC Capital Markets (Australia)
- Heidi Richards, General Manager, Industry Analysis, Australian Prudential Regulation Authority
- Shuping Shi, Senior Lecturer, Department of Economics, Macquarie University
- Jeffrey Sheen, Professor of Economics, Macquarie University
- Stefan Trueck, Professor of Finance, Macquarie University
Risk Day was held on Friday 18 March at the Ballroom of the Sydney Swissotel.
At a time where financial markets are nerviously waiting for signals to determine their direction, this year’s expert speakers addressed:
- circumstances connected with irrational exuberance in domestic housing and other financial markets
- factors contributing to changes in market behaviour and investment risk
- volatility in global financial markets
- new tools to analyse changes in economic indicators
Speakers explored the implications of financial market swings and periods of sustained growth and decline – and what they mean for all levels of society as well as those directly involved with financial markets.
Risk day brings together a diverse audience of academics, industry practitioners, regulators, the media and those involved with investment, banking and finance, and risk management in financial markets.
Speakers included Centre for Financial Risk directors Professor Jeffrey Sheen and Professor Stefan Trueck, who have completed important research on detecting changes in financial markets.
Risk Day attracts a broad audience. The event is a platform to exchange ideas on emerging research and regulatory issues on important risk-related topics.
Risk Day is the main event held each year by Macquarie University's Centre for Financial Risk to showcase the work being done by researchers in this multi-disciplinary centre while enhancing links with industry and regulatory practitioners.
The theme, Banking, Investment and Property Risk: Booms, Bubbles & Busts, is consistent with the strategic initiative investigating the “Prosperous Economies” research.
Heidi Richards' presentation can be found at:
Luci Ellis's presentation:
Christopher Joye's presentation:
Michael McCarthy's presentation:
mccarthy_michael_ Blow Bubbles.ppt
Jeffrey Sheen's presentation:
Shuping Shi's presentation:
Stefan Trueck's presentation:
Financial Risk Day in the media
Blowing housing bubbles - Michael McCarthy in Switzer
PhD students can take part in a 3-day course with Professor Marco Wilkens, University of Augsburg, in the last week of February.
The course Investment Funds – Research and Applications is open to PhD students and others interested in gaining skills to analyse fund performance, along with greater understanding of the structure and regulation of these funds.
The course runs on three non-consecutive days in the week starting Monday 22 February.
- Course: Investment Funds – Research and Applications
- Dates: Monday 22 Feb, Wednesday 24 Feb and Friday 26 Feb 2016
- Venue: Macquarie University E4B Tutorial Rooms: Monday E4B 314; Wednesday & Friday E4B 316
- Time: 9-4pm
Course overview: Participants will acquire profound knowledge of different kind and particularities of investment funds, the funds’ fundamental and regulatory framework and basic as well as state-of-the-art methods to assess their performance.
Course contents includes:
- Institutional basics of investment funds
- Performance measurement of mutual equity funds
- Features of other fund categories
- Special topics on investment funds
A detailed program is available upon request, and will also be sent after registering
- Literature will be given during the course. No preparation needed.
- The course is being run over three non-consecutive days to give participants time to read papers and reconsider the content between formal sessions with Prof Wilkens.
Please register via email to firstname.lastname@example.org by Friday 19 February.
For more information about Professor Marco Wilkens, please visit his staff profile page:
A highly topical seminar was presented by international credit market expert Professor Edward Altman from New York University’s Stern School of Business at an event arranged jointly by the CFR and The Centre for International Finance and Regulation (CIFR).
L to R: Professor David R Gallagher, CIFR, Dr Egon Kalotay, Macquarie University and Professor Edward Altman, NYU Stern School of Business
The Centre for Financial Risk, together with the Centre for International Finance and Regulation (CIFR), held an incredibly successful lunchtime seminar on 19 November, presented by visiting academic Professor Edward Altman from New York University’s Stern School of Business.
Prof Altman delivered an important address on a key issue relevant to stability in financial markets. The seminar, Outlook for Global Credit Markets – Is it a Bubble? provided analysis and a detailed overview of evidence that bubble conditions could be forming with important implications for global stability. He suggested the credit cycle is showing signs of moving towards the end of a benign phase because of a lack of excessive defaults recently.
He considered whether we are now in the midst of an inflating credit bubble, the likelihood and timing of the bubble bursting and whether are now perhaps in an extended period of opportunistic debt refinancing, with close attention needing to be paid to US monetary policy to monitor conditions.
Prof Altman is an international expert on corporate bankruptcy, high yield bonds, distressed debt and credit risk analysis and his views are regularly sought by key participants in financial market stability, including regulators and market practitioners. More than 150 registrations were received for his seminar at Macquarie Applied Finance Centre within days of the event being announced.
His return visit to Macquarie University involved continuing work with Dr Egon Kalotay on their CIFR-funded project on Real Estate Cycles and Bank Systemic Risk. Other CFR members involved with the project include Prof Stefan Trueck and Prof Geoffrey Loudon.
For more information and photographs please visit CIFR’s webpages:
You can view the photos from the event here.
In his 'first visit below the equator', Professor Tom Nohel, Loyola University, Chicago, delivered a stimulating seminar on Leverage Decisions in Portfolio Management.
L to R: Professor Lance Fisher, Professor Tom Nohel, Professor Stefan Trueck
Presented in conjunction with the Department of Economics, the seminar considered the leverage decisions of portfolio managers by focusing on closed-end equity and taxable fixed income funds. The impact of various factors - including the liquidity of investments held by the fund, the net value of assets,
and fund age - on leverage decisions were examined. The presentation also investigated differences in performance between leveraged and unleveraged funds holding either equities or fixed income assets.
The visit, hosted by Professor Lance Fisher, included an informal tour of Sydney's financial district, and meetings with academics, researchers and visiting scholars.
Professor Nohel is based at the Quinlan School of Business at Loyola University. His research interests include strands related to corporate financial policy, including the roles of asymmetric information and financial intermediaries, along with hedge funds and executive compensation and incentives.
Dr Fan Yu has joined the Centre for Financial Risk as its newest member.
Dr Yu is a lecturer in finance in the Department of Applied Finance and Actuarial Studies, after recently joining the Faculty of Business and Economics.
Previously she was Assistant Professor at Fudan University in Shanghai. Dr Yu received her PhD from the University of Washington, Seattle, in 2013 and before that studied at Humboldt University, Berlin to gain her MA.
Her current research interests focus on empirical corporate finance. Other areas of interest include executive compensation, contract theory, corporate governance, capital structure, cash policy and institutional investors.
Dr Yu has a previous link with Australia, receiving the Best Corporate Finance Paper Award at the 26th Australasian Finance and Banking Conference in Sydney in 2013.
We welcome Dr Yu as a member of the Centre for Financial Risk.
Top academic Professor Marco Pagano, University of Napoli Federico II, presented a week-long FIRN Masterclass for PhD students on Market Microstructure between Monday 28 September and Friday 2 October at Macquarie University.
Professor Pagano is a highly regarded scholar in the area of banking and finance, asset pricing, risk management and market microstructure. He has published regularly in journals including the American Economic Review, Journal of Finance, Review of Financial Studies and other leading outlets.
The course is designed for economics and finance PhD students enrolled into member universities of Australia's Financial Research Network (FIRN). It offers the opportunity for participants to understand basic analytical tools of market microstructure theory, show how these tools can be used to analyse regulatory and market design issues, and to illustrate how market microstructure interfaces with asset pricing and with corporate finance.
Additional information about the course and registration for FIRN members will be available at: http://www.firn.org.au/PhD-Courses
As part of his visit, Professor Pagano will also give a seminar talk on Friday October 2, open to the public. Check for more details: http://www.businessandeconomics.mq.edu.au/research/financial_risk/seminars_and_visitors