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Risk Measurement for Large Portfolios under the Benchmark Approach

Funding: 2005: $12,074
2006: $24,148
2007: $24,148
2008: $12,074

Project Member(s): Platen, E.

Funding or Partner Organisation: Australian Research Council (ARC Linkage Projects)
St George Bank (Group Credit, St George Bank Partnership Funding)

Start year: 2006

Summary: The measurement of risk for large portfolios, consisting of basic assets and derivatives, will play a key role in future risk management systems. Based on a new characterization of asymptotic portfolios this project proposes the development, implementation and testing of highly efficient new risk measurement methodologies suitable for portfolios with hundreds or thousands of instruments. Comparisons with standard and new simulation methods will demonstrate their superiority. The outcomes of this project will give the Australian industry and the industry partner a competitive advantage in the measurement and management of risk for large portfolios as superannuation funds or portfolios of banks.


Platen, E 2006, 'Portfolio selection and asset pricing under a benchmark approach', Physica A: Statistical Mechanics And Its Applications, vol. 370, no. 1, pp. 23-29.
View/Download from: UTS OPUS or Publisher's site

Keywords: Integrated risk management, Financial market modeling, Large portfolios, Financial mathematics, Benchmark approach, Stochastic differential equations,

FOR Codes: Finance, Stochastic Analysis and Modelling, Risk Theory, Finance and investment services, Computer software and services not elsewhere classified, Microeconomic issues not elsewhere classified, Financial Mathematics