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

Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.