Research Program

FIRN's research programme will investigate issues related to the integrity and efficiency of Australia's financial system. The main themes of the research programme will be:-

Measurement of financial market risk

Modern financial markets involve a range of risks the measurement of which pose problems of an econometric, actuarial and quantitative modelling nature This theme will explore techniques to measure market risk, credit risk as well as the risk of portfolios containing complex derivative structures. It will involve collaboration amongst the corporate finance, accounting and information systems, funds management, financial econometrics, applied statistics, actuarial science and financial mathematics groups.

Management of financial market risk

This theme will explore a range of issues in the management of financial risk of interest to a number of end-users. Issues of concern to financial institutions such as optimal portfolio allocation and management over time. Issues of concern to the insurance and pension sector such as risk based capital and capital allocation, the design of new products to cater for the pension needs of an aging population, pricing and risk management techniques for superannuation funds and life insurance companies. The projects arising in this theme will collectively involve collaborations amongst all groups of the network.

Systemic risk

Many recent events such as large scale corporate failures, huge losses due to complex derivative positions highlight the need to take a broad perspective on the risks faced by institutions and indeed national economies. This theme will seek to investigate risk in the management of financial markets and institutions from a macro, system perspective. It will focus on the system risk arising from the proliferation of complex financial structures, information flows within financial organisations and to regulators, incentive compatibility issues. Collaborations between the corporate governance, corporate finance, actuarial science, financial econometrics, market micro-structure and funds management groups will mainly be involved.

Financial reporting and auditing

Research into issues concerning risk measurement and management as well as systemic risk require a strong foundation in financial reporting and auditing. This theme will explore research issues in this area that are congruent to the foregoing themes. Principal collaborations will be between the accounting and information systems, financial economics, corporate governance and financial risk management groups.

Optimal design of financial management structures

The perceived corporate governance failures surrounding various corporate collapses and large scale losses have raised issues such as design of board structures, information flows to regulators, the role of regulators, executive remuneration structures, incentive compatibility issues. This theme will undertake research on these topics in a collaborative effort involving the corporate finance, corporate governance, financial economics, actuarial science and financial mathematics groups.