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
Early-Warning Systems and Managing Systemic Risks using Real-Time Financial and Business Conditions Indicators
Area of Interest: Systemic Risk Lead Institution: Macquarie University Project Summary
Substantial resources in banks, businesses, governments and universities are devoted to deriving accurate and timely estimates of the state of the economy and systemic risks. These estimates are of central importance for business, financial, regulatory and macroeconomic policy decision-makers, who have to act in real time. However the data currently utilised is largely disparate, arrives at different time intervals, and is not always rigorously analysed for joint informational content with respect to the management of financial and systemic risks. This project applies the rigour of dynamic factor models (DFMs) for Australia in an international financial and macroeconomic context to model potential systemic risks for the financial sector and the economy. A key outcome is a new set of early warning indicators for systemic risk available over the internet, developed through close communication between Australian academics and practitioners including the Australian Prudential Regulation Authority (APRA) and the Reserve Bank of Australia (RBA).
The MySuper Default Option: Assessing Portfolio Diversification, Suitability for Contributors and Performance of Superannuation Investment Strategies
Area of Interest: Superannuation, Financial Market Developments
According to the Federal Government, MySuper is “a new low cost and simple superannuation product”, that will provide a “single diversified investment strategy, suitable for the vast majority of members who are in the default option.” As more and more MySuper products are approved by the regulator (APRA), this study seeks to explore the diversification of various MySuper products and their suitability for investors. The study will build on a new measure of diversification, the diversification delta. It will also focus on the performance of MySuper products when a contributor is close to retirement and his or her capital base is near its maximum. In this respect, the performance of MySuper products will be compared to alternative, potentially more conservative investment approaches that reduce downside risks for contributors close to retirement.
Team Leader: Professor Stefan Trueck, Co-Director Centre for Financial Risk, Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University; Researchers: Dr Robert Bianchi, Senior Lecturer, Department of Accounting, Finance and Economics, Griffith Business School, Griffith University; Professor Michael Drew, Professor of Finance, Department of Accounting, Finance and Economics, Griffith Business School, Griffith University; Dr Yuri Salazar, Postdoctoral Research Fellow - Centre for Financial Risk, Faculty of Business and Economics, University of Melbourne
Elements of Risk Governance and Culture
We are a university-based group conducting research into the risk culture of large financial institutions. Bringing together expertise in financial risk management, organisational psychology, survey design and state of the art statistical analysis, we have developed the first rigorously validated survey instrument to assess risk culture. We are able to provide risk culture assessments on a consulting basis using our evidence-based methods. Find out more.
Regulation of Financial Plans and Allocated Pensions
This project will research the question of regulating for financial plans, allocated pensions and account-based pensions that carry less investment risk on the cusp of retirement and are better tailored to the spending plans of retirees.
The Cost of Living Longer: Projecting the Effects of Prospective Mortality Improvements on Economic Support Ratios for a Selection of OECD Countries
This project will analyse the effects of prospective mortality improvement on economic support ratios for selected developed countries. The mortality forecasts will be as prepared by Li, Tickle and Parr using the Poisson Common Factor Model for a current IAAust grant-funded project. The proposed project will prepare population and labour force projections for a range of developed countries, and compare the values of economic support ratios between projections using the forecast mortality improvement and projections which assume constant mortality. The outcome will be a better understanding of the implications of forecast mortality change for population aging and economic dependency.
Modeling climate impacted risk with generalised additive models with location, scale and shape
Area of Interest: Systemic Risk Lead Institution: Macquarie University
Professor Stefan Trueck | Co-Director Centre for Financial Risk, Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University
David Pitt | Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University
John McAnernay, Climate Futures
Tony Coleman, Lonergan Edwards and Associates Ltd