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A new Class of Credit Risk Models

Funding: 2000: $60,000
2001: $61,000
2002: $42,000

Funding or Partner Organisation: Australian Research Council (ARC Large Grant)

Start year: 2000

Summary: The outcomes of this project will give Australian industry an internationally competitive advantage in the management of credit risk. In addition to deriving a new class of credit risk models that is consistent with market data, the project will identify, on theoretical and empirical grounds, the model that is optimal under a suitable criterion. Advanced simulation, pricing, hedging and calibration methodologies for major credit derivatives will be developed, implemented and tested and prototype software tools will be written for credit derivative instruments.

FOR Codes: Finance and investment services, Finance, Stochastic Analysis and Modelling