Relevant bibliographies by topics / Financial risk management – Australia

Academic literature on the topic 'Financial risk management – Australia'

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Published: 10 December 2022
Last updated: 29 January 2023

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Journal articles on the topic "Financial risk management – Australia"

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Guesmi, Khaled, Frederic Teulon, and Amine Lahiani. "Australias Integration Into The ASEAN-5 Region." Journal of Applied Business Research (JABR) 29, no. 6 (October 29, 2013): 1607. http://dx.doi.org/10.19030/jabr.v29i6.8198.

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This paper attempts to evaluate the time-varying integration of Australian stock market in ASEAN-5 region (ASEAN + Australia, Korea, China, India and Japan) by using a conditional version of the international capital asset pricing model (ICAPM) allowing for dynamic changes in the degree of market integration, regional market risk price, currency risk price and domestic market risk price. Main findings are as follows: i) the prices of risk in Australia are extremely sensitive to major international economic and political events such as the different monetary and financial crises in international financial market; ii) the level of market openness and development of the stock market satisfactorily explain the time-varying degree of Australian stock integration.
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Nguyen, Justin Hung. "Carbon risk and firm performance: Evidence from a quasi-natural experiment." Australian Journal of Management 43, no. 1 (July 21, 2017): 65–90. http://dx.doi.org/10.1177/0312896217709328.

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This article examines the effect of carbon risk on firm performance, exploiting the Australia ratification of Kyoto Protocol in December 2007 as an exogenous shock. The article finds that polluters, firms in highest-emitting industries, experience a reduction in financial performance relative to controlling non-polluters subsequent to the ratification, and the effect is more pronounced among financially constrained firms. The results are robust to various definitions of polluters, measures of financial constraints, falsification tests on the timing of the Kyoto adoption and the impact of the Global Financial Crisis. The evidence suggests a negative association between carbon risk and firm performance.
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Ramiah, Vikash, Yilang Zhao, and Imad Moosa. "Working capital management during the global financial crisis: the Australian experience." Qualitative Research in Financial Markets 6, no. 3 (November 10, 2014): 332–51. http://dx.doi.org/10.1108/qrfm-09-2012-0026.

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Purpose – This paper aims to document the measures taken by Australian corporate treasurers in the areas of cash, inventory, accounts receivable, accounts payable and risk management to survive the global financial crisis (GFC). Design/methodology/approach – Using qualitative techniques like interviews and a survey questionnaire, this paper summarises the various measures adopted by working capital managers. Findings – The results show that more than half of the participants in the survey altered their working capital management practices during the crisis. Capital expenditure was curtailed, as they aimed at preserving their cash levels while reducing inventory levels. Credit worthiness of institutions became more important, and there was a general decline in credit availability. The results also show that Australian working capital managers exhibit behavioural biases, particularly overconfidence. Originality/value – It is the first paper that uses open-ended questions to capture the effects of the GFC on working capital management in Australia.
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Thomson, Dianne, and Ameeta Jain. "Corporate Governance Failure And Its Impact On National Australia Banks Performance." Journal of Business Case Studies (JBCS) 2, no. 1 (January 1, 2006): 41–56. http://dx.doi.org/10.19030/jbcs.v2i1.4879.

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The National Australia Bank (NAB) is the largest financial services institution listed on the Australian stock exchange and is within the 30 most profitable financial services organisation in the world. In January 2004, the bank disclosed to the public that it had identified losses relating to unauthorised trading in foreign currency options amounting to AUD360 million. This foreign exchange debacle was classified as operational risk, the risk of loss resulting from inadequate or failed processes, people, or systems and reiterated the importance of corporate governance for banks. Concurrent issues of National Australia Banks AUD4.1 billion loss on US HomeSide loans in 2001, the degree of strength of their risk management practices and lack of auditor independence, were raised by the US Securities and Exchange Commission in 2004, reinforcing the view that corporate governance had not been given the priority it deserved over a number of years. This paper will assess and critically analyse the impact of corporate governance failure by management and Board of Directors on NABs performance over the years 2001-2005.
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Scherbina, Tatiana, Olya Afanasieva, and Yulia Lapina. "Risk management, corporate governance and investment banking: The role of chief risk officer." Corporate Ownership and Control 10, no. 3 (2013): 313–30. http://dx.doi.org/10.22495/cocv10i3c2art5.

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This paper focuses on the defining the role of CRO in corporate governance and to show the interrelation between the way of CRO subordination and performance of investment bank. The sample consists of observations over a period of 2011 for 29 biggest investment banks (by amount of assets) implementing world-wide investment activity. The banks are originated in the USA (8), Eastern Europe (14), China (2), Japan (2), Canada (2), and Australia (1). With the aim to evaluate and compare financial performance of selected banks the construction of synthetic key performance indicator (SKPI) is worked out. The empirical analysis of risk management in the research is based on two different groups of factors, which could be used to evaluate the effectiveness of risk management in this sphere: analysis of CRO impact - Risk Management Committee factors and CRO factors, and Evaluation of Financial Performance. Results show that the CRO presence in investment banks effect positively on the financial performance.
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Black, Warren, Geoffrey Cann, and Darren Gerber. "Nine principles for establishing a risk-intelligent major capital project." APPEA Journal 53, no. 2 (2013): 495. http://dx.doi.org/10.1071/aj12106.

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The reality of major capital projects With almost $1 trillion of investor capital being committed to major capital projects across Australia, the competition to secure adequate skills, machinery, materials, operating licenses, contractor support, and associated infrastructure has increased significantly, putting pressure on supply and yielding unique delivery risks. Furthermore, the sheer magnitude and complexity of these projects, combined with market conditions and the high value of the Australian dollar, has increased risk profiles to the point where such projects may threaten the financial security of owners and investors. The reality is that major capital projects can significantly enhance or erode shareholder value, depending on how well they are executed. Considering their high-impact nature, levels of governance, risk management, and assurance need to be strengthened. Risk intelligence in major capital projects As part of Deloitte's ongoing relationship with some of the most prominent major capital project entities in Australia, the authors have assessed a number of mega projects to determine what commonalities exist in light of risk management better practice. The authors have consolidated their observations into their latest contribution to Australian industry: Nine Principles to Establishing a Risk Intelligent, Major Capital Project. This extended abstract outlines what the authors believe the top Australian major capital projects are doing to control risk, while pursuing their delivery objectives. How are project officers securing clear accountability in complex stakeholder environments? How are they keeping owners and investors assured? How are they de-mystifying emerging risk scenarios?
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Jain, Ameeta, and Dianne Thomson. "Corporate governance, board responsibilities, and financial performance: The National Bank of Australia." Corporate Ownership and Control 6, no. 2 (2008): 99–113. http://dx.doi.org/10.22495/cocv6i2p9.

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This paper examines board responsibilities and accountability by management and Board of Directors in relation to the National Australia Bank’s (NABs) performance. The NAB, an international financial service provider within the top thirty most profitable banks in the world, is compared with the Australian major banks. The evidence suggests that NABs poor performance was consistent with a lack of accountability, poor corporate governance and board dysfunction associated with fraudulent currency trading and the subsequent AUD360 million foreign currency losses. The NAB’s performance is investigated by utilizing accounting-based measures of profitability and cost efficiency as proxies for performance. Following the foreign currency trading losses in 2004 the NAB under-performed the other major Australian banks in terms of profits, cost to income ratio and growth in assets. In terms of profitability and cost efficiency NAB had the lowest ROE and ROA with a 19.7% fall in net profit and the highest cost to income ratio of 57.4% of any of the five largest banks. This case study provides an Australian example of poor corporate governance and suggests that financial institutions and regulators can learn from the NAB’s experience. Failure to have top-down accountability can have significant impact on over-all performance, profitability and reputation. In particular, it suggests that management and Boards need to review their risk management procedures and regulators need to be more pro-active in their prudential oversight of financial institutions.
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Brown, Christine, Viet Do, and Oscar Trevarthen. "Liquidity shock management: Lessons from Australian banks." Australian Journal of Management 42, no. 4 (November 17, 2016): 637–52. http://dx.doi.org/10.1177/0312896216656720.

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Prior to the 2007–2009 financial crisis, international banks had an average share of around 65% of the syndicated loan market in Australia. When the crisis hit, the resulting liquidity shock resulted in globally active international banks exiting the Australian market. With limited global operations, the major Australian banks were able to absorb and manage the liquidity shock. This resulted in domestic banks carrying a significantly greater proportion of revolving credit facilities in their syndicated loan portfolios after 2008. Domestic bank willingness and ability to deal with the market disruption and to hold a greater proportion of high liquidity risk revolvers are directly linked to the level of their transaction deposits. Their increased involvement in revolving facilities cannot be fully explained by the certification effect or flight-to-home effect. It is not demand driven and is robust to endogeneity tests.
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Tarca, Silvio, and Marek Rutkowski. "Assessing the Basel II internal ratings-based approach." Journal of Financial Regulation and Compliance 24, no. 2 (May 9, 2016): 106–39. http://dx.doi.org/10.1108/jfrc-05-2015-0024.

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Purpose This study aims to render a fundamental assessment of the Basel II internal ratings-based (IRB) approach by taking readings of the Australian banking sector since the implementation of Basel II and comparing them with signals from macroeconomic indicators, financial statistics and external credit ratings. The IRB approach to capital adequacy for credit risk, which implements an asymptotic single risk factor (ASRF) model, plays an important role in protecting the Australian banking sector against insolvency. Design/methodology/approach Realisations of the single systematic risk factor, interpreted as describing the prevailing state of the Australian economy, are recovered from the ASRF model and compared with macroeconomic indicators. Similarly, estimates of distance-to-default, reflecting the capacity of the Australian banking sector to absorb credit losses, are recovered from the ASRF model and compared with financial statistics and external credit ratings. With the implementation of Basel II preceding the time when the effect of the financial crisis of 2007-2009 was most acutely felt, the authors measure the impact of the crisis on the Australian banking sector. Findings Measurements from the ASRF model find general agreement with signals from macroeconomic indicators, financial statistics and external credit ratings. This leads to a favourable assessment of the ASRF model for the purposes of capital allocation, performance attribution and risk monitoring. The empirical analysis used in this paper reveals that the recent crisis imparted a mild stress on the Australian banking sector. Research limitations/implications Given the range of economic conditions, from mild contraction to moderate expansion, experienced in Australia since the implementation of Basel II, the authors cannot attest to the validity of the model specification of the IRB approach for its intended purpose of solvency assessment. Originality/value Access to internal bank data collected by the prudential regulator distinguishes this paper from other empirical studies on the IRB approach and financial crisis of 2007-2009. The authors are not the first to attempt to measure the effects of the recent crisis, but they believe that they are the first to do so using regulatory data.
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Sullivan, Paul. "A risk management approach to safe mooring systems in Australia." APPEA Journal 56, no. 2 (2016): 550. http://dx.doi.org/10.1071/aj15056.

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In March 2015, during cyclone Olwyn, a mobile offshore drilling unit (MODU) experienced a mooring failure and loss of position event. The MODU was blown some three nautical miles off location in the vicinity of subsea and surface infrastructure. There are serious safety, environmental, financial, and reputational risks that can be presented by a loss of mooring position. In response, NOPSEMA hosted a workshop with members of APPEA, the International Drilling Contractors Association (IADC) and with mooring contractors with a view to collectively improve the management of risks associated with the mooring of MODUs in Australia’s tropical waters, both in the short and longer term. Following this workshop, NOPSEMA issued an Information Note for the 2015/16 cyclone season, describing the regulators’ expectations of industry duty holders in respect of MODU mooring system management. At the same time, APPEA’s Drilling Industry Steering Committee (DISC) members aligned on the key principles underpinning a MODU mooring system approach. In late 2015, the APPEA DISC members commissioned a working group to develop a guidance framework for MODU mooring management in Australian tropical waters. DISC aims to work closely with industry partners such as IADC and specialist mooring contractors in the development of this framework. DISC has tasked the working group to have the guidance framework ready for the 2016/17 cyclone season, and for presentation at the 2016 APPEA Conference. The completed case study, presented at the APPEA Conference, provides an excellent example of a goal-setting and continuous improvement regulatory regime working as designed and intended.
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Dissertations / Theses on the topic "Financial risk management – Australia"

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Laurent, Marie-Paule. "Essays in financial risk management." Doctoral thesis, Universite Libre de Bruxelles, 2003. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211221.

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Zhang, Lequn. "Extreme Risk Forecast for Quantitative Financial Risk Management." Thesis, Curtin University, 2022. http://hdl.handle.net/20.500.11937/89362.

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Value at Risk (VaR) is one of the key risk measures for quantitative financial risk management. VaR measures extreme risk, which has a small probability but a significant consequence to financial institutions. This thesis develops methods based on an extended extreme value approach to improve the forecast skill of VaR. The proposed methods improve the forecasting accuracy, robustness, efficiency and outperform the existing methods in the literature.
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Gueye, Djibril. "Some contributions to financial risk management." Thesis, Strasbourg, 2021. http://www.theses.fr/2021STRAD027.

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Cette thèse traite différentes questions liées à la gestion quantitative des risques financiers. Nous nous intéressons, dans une première partie, aux modèles de temps de défaut en risque de crédit dans le cadre de la théorie de grossissement de filtrations. Nous proposons des modèles où le temps de défaut peut coïncider avec des instants de chocs économiques. D’abords, nous étendons le modèle de Jiao et Li (2018) dans le cas où les chocs ne sont pas prévisibles en étudiant les caractéristiques du temps de défaut. Nous présentons ensuite le modèle de Cox généralisé qui est une extention de celui de Lando (voir Lando, 1998). Nous proposons une large gamme d’exemples pour ullistrer notre construction. La seconde partie porte sur la construction de surfaces de volatilités des actifs financiers sous la condition d’absence d’opportunité d’arbitrage (AOA) en utilisant les méthodologies de krigeage (où la regression par processus Gaussien). Notre approche consiste á mettre en œuvre l’apprentissage du krigeage sur les prix d’options européennes en respectant les conditions de non-arbitrage. Ces conditions sont caractérisées par des contraintes de forme sur les prix, à savoir la monotonicité dans la direction des maturités et la convexité dans la direction des strikes. Etant donné que ces contraintes correspondent à un nombre fini d’inégalités linéaires, nous adoptons une technique de krigeage sous contraintes d’inégalités linéaires. Nous utilisons, pour cela, la méthode d’eveloppée par Maatouk et Bay (2016) qui est basée sur l’approximation fini-dimensionnelle du processus Gaussien. L’algorithme de Monte Carlo Hamiltonien de Pakman et Paninski (2014) sera utilisé pour simuler les coefficients Gaussiens. Nous proposons une méthode de calcul du Maximum a Posteriori (MAP) du processus Gaussien. Nous comparons notre méthode avec celles des réseaux de neuronne contraints et des SSVI
This thesis deals with various issues related to quantitative management of financial risks. We are interested, in a first part, in the models of default time in credit risk within the framework of enlargement of filtrations theory. We propose models where the default time can coincide with some instants of economic shocks. We first extend the model of Jiao and Li (2018) in the case where the shocks are not predictable by studying the characteristics of the default time. Secondly, we present the generalized Cox model which is an extension of Lando's (see Lando, 1998). We offer a wide range of examples to ulistate our construction. The second part deals with the construction of volatility surfaces of financial assets under the condition of no arbitrage opportunity (AOA) using kriging methodologies (or Gaussian process regression). Our approach consists in learning kriging on European option prices by taking into account non-arbitrage conditions. These conditions are characterized by shape constraints on prices, namely monotonicity in the direction of maturities and convexity in the direction of strikes. Since these constraints correspond to a finite number of linear inequalities, we adopt a kriging technique under constraints of linear inequalities. For this, we use the method developed by Maatouk and Bay (2016) which is based on the finite-dimensional approximation of the Gaussian process. The Monte Carlo Hamiltonian algorithm of Pakman and Paninski (2014) will be used to simulate the Gaussian coefficients. We propose a method for calculating the Maximum a Posteriori (MAP) of the Gaussian process. We compare our method with those of constrained neural networks and SSVIs
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Wang, Mulong. "Financial derivatives in corporate risk management." Access restricted to users with UT Austin EID, 2001. http://wwwlib.umi.com/cr/utexas/fullcit?p3036610.

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Schaumburg, Julia. "Quantile methods for financial risk management." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2013. http://dx.doi.org/10.18452/16675.

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In dieser Dissertation werden neue Methoden zur Erfassung zweier Risikoarten entwickelt. Markrisiko ist definiert als das Risiko, auf Grund von Wertrückgängen in Wertpapierportfolios Geld zu verlieren. Systemisches Risiko bezieht sich auf das Risiko des Zusammenbruchs eines Finanzsystems, das durch die Notlage eines einzelnen Finanzinstituts entsteht. Im Zuge der Finanzkrise 2007–2009 realisierten sich beide Risiken, was weltweit zu hohen Verlusten für Investoren, Unternehmen und Steuerzahler führte. Vor diesem Hintergrund besteht sowohl bei Finanzinstituten als auch bei Regulierungsbehörden Interesse an neuen Ansätzen für das Risikomanagement. Die Gemeinsamkeit der in dieser Dissertation entwickelten Methoden besteht darin, dass unterschiedliche Quantilsregressionsansätze in neuartiger Weise für das Finanzrisikomanagement verwendet werden. Zum einen wird nichtparametrische Quantilsregression mit Extremwertmethoden kombiniert, um extreme Markpreisänderungsrisiken zu prognostizieren. Das resultierende Value at Risk (VaR) Prognose- Modell für extremeWahrscheinlichkeiten wird auf internationale Aktienindizes angewandt. In vielen Fällen schneidet es besser ab als parametrische Vergleichsmodelle. Zum anderen wird ein Maß für systemisches Risiko, das realized systemic risk beta, eingeführt. Anders als bereits existierende Messgrößen erfasst es explizit sowohl Risikoabhängigkeiten zwischen Finanzinstituten als auch deren individuelle Bilanzmerkmale und Finanzsektor-Indikatoren. Um die relevanten Risikotreiber jedes einzelnen Unternehmens zu bestimmen, werden Modellselektionsverfahren für hochdimensionale Quantilsregressionen benutzt. Das realized systemic risk beta entspricht dem totalen Effekt eines Anstiegs des VaR eines Unternehmens auf den VaR des Finanzsystems. Anhand von us-amerikanischen und europäischen Daten wird gezeigt, dass die neue Messzahl sich gut zur Erfassung und Vorhersage systemischen Risikos eignet.
This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During the financial crisis 2007–2009, both types of risk materialized, resulting in huge losses for investors, companies, and tax payers all over the world. Therefore, considering new risk management alternatives is of interest for both financial institutions and regulatory authorities. A common feature of the models used throughout the thesis is that they adapt quantile regression techniques to the context of financial risk management in a novel way. Firstly, to predict extreme market risk, nonparametric quantile regression is combined with extreme value theory. The resulting extreme Value at Risk (VaR) forecast framework is applied to different international stock indices. In many situations, its performance is superior to parametric benchmark models. Secondly, a systemic risk measure, the realized systemic risk beta, is proposed. In contrast to exististing measures it is tailored to account for tail risk interconnections within the financial sector, individual firm characteristics, and financial indicators. To determine each company’s relevant risk drivers, model selection techniques for high-dimensional quantile regression are employed. The realized systemic risk beta corresponds to the total effect of each firm’s VaR on the system’s VaR. Using data on major financial institutions in the U.S. and in Europe, it is shown that the new measure is a valuable tool to both estimate and forecast systemic risk.
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Genin, Adrien. "Asymptotic approaches in financial risk management." Thesis, Sorbonne Paris Cité, 2018. http://www.theses.fr/2018USPCC120/document.

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Cette thèse se propose de traiter de trois problèmes de gestion des risques financiers en utilisant différentes approches asymptotiques. La première partie présente un algorithme Monte Carlo d’échantillonnage d’importance pour la valorisation d’options asiatiques dans des modèles exponentiels de Lévy. La mesure optimale d’échantillonnage d’importance est obtenue grâce à la théorie des grandes déviations. La seconde partie présente l’étude du comportement asymptotique de la somme de n variables aléatoires positives et dépendantes dont la distribution est un mélange log-normal ainsi que des applications en gestion des risque de portefeuille d’actifs. Enfin, la dernière partie, présente une application de la notion de variations régulières pour l’analyse du comportement des queues de distribution d’un vecteur aléatoire dont les composantes suivent des distributions à queues épaisses et dont la structure de dépendance est modélisée par une copule Gaussienne. Ces résultats sont ensuite appliqués au comportement asymptotique d’un portefeuille d’options dans le modèle de Black-Scholes
This thesis focuses on three problems from the area of financial risk management, using various asymptotic approaches. The first part presents an importance sampling algorithm for Monte Carlo pricing of exotic options in exponential Lévy models. The optimal importance sampling measure is computed using techniques from the theory of large deviations. The second part uses the Laplace method to study the tail behavior of the sum of n dependent positive random variables, following a log-normal mixture distribution, with applications to portfolio risk management. Finally, the last part employs the notion of multivariate regular variation to analyze the tail behavior of a random vector with heavy-tailed components, whose dependence structure is modeled by a Gaussian copula. As application, we consider the tail behavior of a portfolio of options in the Black-Scholes model
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Aas, Roar. "Risk management using derivatives." Thesis, Heriot-Watt University, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262000.

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Eriksson, Kristofer. "Risk Measures and Dependence Modeling in Financial Risk Management." Thesis, Umeå universitet, Institutionen för fysik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-85185.

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In financial risk management it is essential to be able to model dependence in markets and portfolios in an accurate and efficient way. A high positive dependence between assets in a portfolio can be devastating, especially in times of crises, since losses will most likely occur at the same time in all assets for such a portfolio. The dependence is therefore directly linked to the risk of the portfolio. The risk can be estimated by several different risk measures, for example Value-at-Risk and Expected shortfall. This paper studies some different ways to measure risk and model dependence, both in a theoretical and empirical way. The main focus is on copulas, which is a way to model and construct complex dependencies. Copulas are a useful tool since it allows the user to separately specify the marginal distributions and then link them together with the copula. However, copulas can be quite complex to understand and it is not trivial to know which copula to use. An implemented copula model might give the user a "black-box" feeling and a severe model risk if the user trusts the model too much and is unaware of what is going. Another model would be to use the linear correlation which is also a way to measure dependence. This is an easier model and as such it is believed to be easier for all users to understand. However, linear correlation is only easy to understand in the case of elliptical distributions, and when we move away from this assumption (which is usually the case in financial data), some clear drawbacks and pitfalls become present. A third model, called historical simulation, uses the historical returns of the portfolio and estimate the risk on this data without making any parametric assumptions about the dependence. The dependence is assumed to be incorporated in the historical evolvement of the portfolio. This model is very easy and very popular, but it is more limited than the previous two models to the assumption that history will repeat itself and needs much more historical observations to yield good results. Here we face the risk that the market dynamics has changed when looking too far back in history. In this paper some different copula models are implemented and compared to the historical simulation approach by estimating risk with Value-at-Risk and Expected shortfall. The parameters of the copulas are also investigated under calm and stressed market periods. This information about the parameters is useful when performing stress tests. The empirical study indicates that it is difficult to distinguish the parameters between the stressed and calm market period. The overall conclusion is; which model to use depends on our beliefs about the future distribution. If we believe that the distribution is elliptical then a correlation model is good, if it is believed to have a complex dependence then the user should turn to a copula model, and if we can assume that history will repeat itself then historical simulation is advantageous.
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Powell, Robert. "Industry value at risk in Australia." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2007. https://ro.ecu.edu.au/theses/297.

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Value at Risk (VaR) models have gained increasing momentum in recent years. Market VaR is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis. Credit risk modelling has become increasingly important to banks since the advent of Basel 11 which allows banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks failing or experiencing severe difficulty. Conditional Value at Risk (CVaR) measures extreme risk, and is gaining popularity with the recognition that high losses are often impacted by a small number of extreme events.
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Kwok, Ho King Calvin Actuarial Studies Australian School of Business UNSW. "Energy price modelling and risk management." Awarded by:University of New South Wales. Actuarial Studies, 2007. http://handle.unsw.edu.au/1959.4/40602.

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This thesis focuses on the development of a forecasting model for short- to medium-term electricity spot prices, based on modelling the dynamics of the supply and demand functions. It is found that the equilibrium assumption frequently adopted in electricity price models does not always hold; to overcome this problem, a notional demand process derived from the market clearing condition is proposed. Not only is this demand process able to capture all the price-affecting factors in one variable, but it also allows the equilibrium assumption to be satisfied and a spot price model to be built, using any appropriate form of hypothetical supply function. In addition, this thesis presents a model for approximating and modelling the bid stacks by capturing the points that govern their shape and location. Integrating these two models provides a realistic model that has a mean absolute percentage error of approximately 19% and 24% for week- and month-ahead forecasts respectively, when applied to the New South Wales (NSW) half-hourly electricity spot prices. Additionally, the density forecasting evaluation method proposed by Diebold et al. (1998) is employed in the thesis to assess the performance of the model. Besides the development of a spot price model, a two-part empirical study is made of the prices of NSW electricity futures contracts. The first part of the study develops a method based on the principle of certainty equivalence, which enables the market utility function to be recovered from a set of futures market quotes. The method is tested with two different sets of simulated data and works as expected. However, it is unable to obtain useful results from the NSW market quotes due to the poor data quality. The second part uses a regression method to investigate the relationship between futures prices and the descriptive statistics of the underlying spot prices. The result suggests that futures prices in NSW are linear combinations of the median and volatility of the final payoff.
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Books on the topic "Financial risk management – Australia"

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Au-Yeung, Wilson. Australian government balance sheet management. Cambridge, Mass: National Bureau of Economic Research, 2006.

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B, Falkena H. Financial risk management. South Africa: Southern Book Publishers, 1991.

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Dun & Bradstreet Corporation. Financial risk management. New Delhi: Tata McGraw-Hill, 2007.

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Financial risk management. London: McGraw-Hill Book Co., 1995.

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S, Hughes, ed. Financial risk management. Aldershot, Hants, England: Gower, 1988.

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Población García, Francisco Javier. Financial Risk Management. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2.

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Allen, Steven, ed. Financial Risk Management. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119203209.

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Skoglund, Jimmy, and Wei Chen. Financial Risk Management. Hoboken, NJ, USA: John Wiley & Sons, Inc, 2015. http://dx.doi.org/10.1002/9781119157502.

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Financial enterprise risk management. Cambridge: Cambridge University Press, 2011.

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Wu, Desheng Dash. Quantitative financial risk management. Berlin: Springer, 2011.

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Book chapters on the topic "Financial risk management – Australia"

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de Zwart, Francesco. "Introduction to Failings of Risk Management in the Global Financial Crisis and Beyond to the Australian Banking Royal Commission Enquiry into Banking Misconduct." In The Key Code and Advanced Handbook for the Governance and Supervision of Banks in Australia, 1023–44. Singapore: Springer Singapore, 2021. http://dx.doi.org/10.1007/978-981-16-1710-2_38.

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Errington, Charles. "Risk Management." In Financial Engineering, 45–58. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-13268-3_3.

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Jain, P. K., Shveta Singh, and Surendra Singh Yadav. "Risk Management." In Financial Management Practices, 277–97. India: Springer India, 2013. http://dx.doi.org/10.1007/978-81-322-0990-4_7.

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Zhu, Ning. "Risk Managment! Risk Management!" In Financial Decision Making, 94–101. Abingdon, Oxon ; New York, NY : Routledge, 2017.: Routledge, 2017. http://dx.doi.org/10.4324/9781315619859-12.

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García, Francisco Javier Población. "Derivative Credit Risk (Counterparty Risk)." In Financial Risk Management, 265–73. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_12.

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García, Francisco Javier Población. "One-Dimensional Market Risk; Equity Risk." In Financial Risk Management, 41–73. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_3.

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García, Francisco Javier Población. "Operational Risk." In Financial Risk Management, 277–92. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_13.

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García, Francisco Javier Población. "Liquidity Risk." In Financial Risk Management, 293–303. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_14.

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García, Francisco Javier Población. "Country Risk." In Financial Risk Management, 305–19. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_15.

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García, Francisco Javier Población. "Risk Quantification." In Financial Risk Management, 17–38. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_2.

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Conference papers on the topic "Financial risk management – Australia"

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Viney, Christopher. "Informing IT Managers - Why the Bank for International Settlements is Establishing a Capital Charge Guideline for Operational Risk: the Australian Evidence." In 2002 Informing Science + IT Education Conference. Informing Science Institute, 2002. http://dx.doi.org/10.28945/2585.

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IT managers within financial institutions must understand and be able to respond to the operational, financial and regulatory impacts that will result from a loss of critical business functions. The Basel Committee on Banking Supervision, through the Bank for International Settlements (BIS) has circulated a consultative paper which, if eventually adopted by nation-state bank supervisors, will impose an operational risk capital charge on banks as part of the new Capital Accord. Banks will also be required to record and report operational risk occurrences or events. This paper presents data on aspects of the disaster risk management practices of banks operating within the Australian financial system. The data indicate that banks, as a group, do not maintain effective disaster risk management practices and are not adequately prepared to recover a loss of critical business functions. The results clearly support the necessity of the BIS initiatives.
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McDermott, Vanessa, and Jan Hayes. "‘We’re Still Hitting Things’: The Effectiveness of Third Party Processes for Pipeline Strike Prevention." In 2016 11th International Pipeline Conference. American Society of Mechanical Engineers, 2016. http://dx.doi.org/10.1115/ipc2016-64070.

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High-pressure gas pipelines are vulnerable to damage in the course of building or maintaining other infrastructure, such as roads, water pipelines, electricity or telecommunications cabling. Unlike other countries, there has never been a death or serious injury from a high-pressure gas pipeline strike in Australia and yet external interference continues to be the most common cause of pipeline damage despite a range of technical and legislative measures in place. This research project aims to enhance the safety strategies regarding third party pipeline strikes by giving the pipeline sector a greater understanding of the motivations and priorities of those who work around pipeline assets and so how to work with them to achieve better outcomes. Using data gathered from more than 70 in-depth interviews, we explore empirically alternate understandings of risk amongst a range of stakeholders and individuals that are responsible in some way for work near or around high-pressure gas transmission pipelines in Australia. Outside the pipeline sector, much of the work around pipelines is conducted by those at the bottom of long chains of contractors and sub-contractors. We discuss perceptions of risk held by a range of third party actors whose activities have the potential to threaten gas pipeline integrity. We compare these views with gas pipeline industry perceptions of risk, couched in terms of asset management, public safety, legal and insurance obligations, and reputation management. This paper focuses on how financial risk and so also management of the potential for pipeline strikes is shifted down the third party contractor chain. Added to this, incentives for timely project completion can unintentionally lead to situations where the potential for third party contractors to strike pipelines increases. The data shows that third party contractors feel the time and cost impact of design or project changes most immediately. Consequently, strikes or near misses may result as sub-contractors seek to avoid perceived ‘unnecessary’ time delays along with the associated financial impact. We argue that efforts to reduce the potential for pipeline strike need to be targeted at structural changes, rather than simply aimed at worker risk perception and enforcement of safety compliance strategies.
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Hayes, Jan, Lynne Chester, and Dolruedee Kramnaimuang King. "Is Public Safety Impacted by the Multiple Regulatory Regimes for Gas Pipelines and Networks?" In 2018 12th International Pipeline Conference. American Society of Mechanical Engineers, 2018. http://dx.doi.org/10.1115/ipc2018-78160.

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Gas pipelines and networks are subject to multiple regulatory governance arrangements. One regime is economic regulation which is designed to ensure fair access to gas markets and emulate the price pressures of competition in a sector dominated by a few companies. Another regime is technical regulation which is designed to ensure pipeline system integrity is sufficient for the purposes of public safety, environmental protection and physical security of supply. As was highlighted in analysis of the San Bruno pipeline failure, these two regulatory regimes have substantially different orientations towards expenditure on things such as maintenance and inspection which ultimately impact public safety. Drawing on more than 50 interviews, document review and case studies of specific price determinations, we have investigated the extent to which these two regulatory regimes as enacted in Australia may conflict, and particularly whether economic regulation influences long-term public safety outcomes. We also draw on a comparison with how similar regulatory requirements are enacted in the United Kingdom (UK). Analysis shows that the overall orientation towards risk varies between the two regimes. The technical regulatory regime is a typical goal-setting style of risk governance with an overarching requirement that ‘reasonably practicable’ measures are put in place to minimize risk to the public. In contrast, the incentive-based economic regulatory regime requires that expenditure should be ‘efficient’ to warrant inclusion in the determination of acceptable charges to customers. How safety is considered within this remains an open question. Best practice in performance-based safety regimes such as those used in the UK and Australia require that regulators adopt an attitude towards companies based on the principle of ‘trust but verify’ as, generally speaking, all parties aim for the common goal of no accidents. Equally, in jurisdictions that favor prescriptive safety requirements such as the United States (US) the common goal remains. In contrast, stakeholders in the economic regulatory regime have significantly diverse interests; companies seek to maximize their individual financial returns and regulators seek to exert downward price pressures. We argue that these differences in the two regulatory regimes are significant for the management of public safety risk and conclude that minimizing risk to the public from a major pipeline failure would be better served by the economic regulatory regime’s separate consideration of safety-related from other expenditure and informed by the technical regulator’s view of safety.
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Pashchenko, Svetlana, Nikolay Pashchenko, and Olga Krioni. "Financial risk management." In International Conference on Trends of Technologies and Innovations in Economic and Social Studies 2017. Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/ttiess-17.2017.84.

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Romanova, A. A., L. A. Terekhova, and P. A. Romanov. "Financial Innovations’ Risk Management." In International Scientific Conference "Far East Con" (ISCFEC 2020). Paris, France: Atlantis Press, 2020. http://dx.doi.org/10.2991/aebmr.k.200312.070.

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"An Overview of Financial Risk Management HomeAn Overview of Financial Risk Management." In rd Joint International Conference on Accounting, Business, Economics and Politics. Tishk International University, 2021. http://dx.doi.org/10.23918/icabep2021p30.

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Chen, Qian, and Mu Zhang. "Risk analysis and risk management in financial industry." In 7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention (RAC-2016). Paris, France: Atlantis Press, 2016. http://dx.doi.org/10.2991/rac-16.2016.89.

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Chu, Weimei. "Analysis of Financial Investment Risk in Enterprise Financial Management." In 6th International Conference on Financial Innovation and Economic Development (ICFIED 2021). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210319.063.

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Zhang, Chun-ying, and Qi Wang. "Strengthen financial risk management and prevent financial crisis effectively." In 2012 4th Electronic System-Integration Technology Conference (ESTC). IEEE, 2012. http://dx.doi.org/10.1109/estc.2012.6485733.

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Yuezhong, Duan, Xie Xiguo, Jin Yongsheng, and Cheng Che. "A New Financial Risk Management Model." In 2009 Third International Symposium on Intelligent Information Technology Application. IEEE, 2009. http://dx.doi.org/10.1109/iita.2009.140.

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Reports on the topic "Financial risk management – Australia"

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Andersen, Torben, Tim Bollerslev, Peter Christoffersen, and Francis Diebold. Financial Risk Measurement for Financial Risk Management. Cambridge, MA: National Bureau of Economic Research, May 2012. http://dx.doi.org/10.3386/w18084.

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Rampini, Adriano, S. Viswanathan, and Guillaume Vuillemey. Risk Management in Financial Institutions. Cambridge, MA: National Bureau of Economic Research, March 2019. http://dx.doi.org/10.3386/w25698.

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Draghi, Mario, Francesco Giavazzi, and Robert Merton. Transparency, Risk Management and International Financial Fragility. Cambridge, MA: National Bureau of Economic Research, June 2003. http://dx.doi.org/10.3386/w9806.

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Christoffersen, Peter, and Francis Diebold. How Relevant is Volatility Forecasting for Financial Risk Management? Cambridge, MA: National Bureau of Economic Research, December 1998. http://dx.doi.org/10.3386/w6844.

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McKenna, Patrick, and Mark Evans. Emergency Relief and complex service delivery: Towards better outcomes. Queensland University of Technology, June 2021. http://dx.doi.org/10.5204/rep.eprints.211133.

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Emergency Relief (ER) is a Department of Social Services (DSS) funded program, delivered by 197 community organisations (ER Providers) across Australia, to assist people facing a financial crisis with financial/material aid and referrals to other support programs. ER has been playing this important role in Australian communities since 1979. Without ER, more people living in Australia who experience a financial crisis might face further harm such as crippling debt or homelessness. The Emergency Relief National Coordination Group (NCG) was established in April 2020 at the start of the COVID-19 pandemic to advise the Minister for Families and Social Services on the implementation of ER. To inform its advice to the Minister, the NCG partnered with the Institute for Governance at the University of Canberra to conduct research to understand the issues and challenges faced by ER Providers and Service Users in local contexts across Australia. The research involved a desktop review of the existing literature on ER service provision, a large survey which all Commonwealth ER Providers were invited to participate in (and 122 responses were received), interviews with a purposive sample of 18 ER Providers, and the development of a program logic and theory of change for the Commonwealth ER program to assess progress. The surveys and interviews focussed on ER Provider perceptions of the strengths, weaknesses, future challenges, and areas of improvement for current ER provision. The trend of increasing case complexity, the effectiveness of ER service delivery models in achieving outcomes for Service Users, and the significance of volunteering in the sector were investigated. Separately, an evaluation of the performance of the NCG was conducted and a summary of the evaluation is provided as an appendix to this report. Several themes emerged from the review of the existing literature such as service delivery shortcomings in dealing with case complexity, the effectiveness of case management, and repeat requests for service. Interviews with ER workers and Service Users found that an uplift in workforce capability was required to deal with increasing case complexity, leading to recommendations for more training and service standards. Several service evaluations found that ER delivered with case management led to high Service User satisfaction, played an integral role in transforming the lives of people with complex needs, and lowered repeat requests for service. A large longitudinal quantitative study revealed that more time spent with participants substantially decreased the number of repeat requests for service; and, given that repeat requests for service can be an indicator of entrenched poverty, not accessing further services is likely to suggest improvement. The interviews identified the main strengths of ER to be the rapid response and flexible use of funds to stabilise crisis situations and connect people to other supports through strong local networks. Service Users trusted the system because of these strengths, and ER was often an access point to holistic support. There were three main weaknesses identified. First, funding contracts were too short and did not cover the full costs of the program—in particular, case management for complex cases. Second, many Service Users were dependent on ER which was inconsistent with the definition and intent of the program. Third, there was inconsistency in the level of service received by Service Users in different geographic locations. These weaknesses can be improved upon with a joined-up approach featuring co-design and collaborative governance, leading to the successful commissioning of social services. The survey confirmed that volunteers were significant for ER, making up 92% of all workers and 51% of all hours worked in respondent ER programs. Of the 122 respondents, volunteers amounted to 554 full-time equivalents, a contribution valued at $39.4 million. In total there were 8,316 volunteers working in the 122 respondent ER programs. The sector can support and upskill these volunteers (and employees in addition) by developing scalable training solutions such as online training modules, updating ER service standards, and engaging in collaborative learning arrangements where large and small ER Providers share resources. More engagement with peak bodies such as Volunteering Australia might also assist the sector to improve the focus on volunteer engagement. Integrated services achieve better outcomes for complex ER cases—97% of survey respondents either agreed or strongly agreed this was the case. The research identified the dimensions of service integration most relevant to ER Providers to be case management, referrals, the breadth of services offered internally, co-location with interrelated service providers, an established network of support, workforce capability, and Service User engagement. Providers can individually focus on increasing the level of service integration for their ER program to improve their ability to deal with complex cases, which are clearly on the rise. At the system level, a more joined-up approach can also improve service integration across Australia. The key dimensions of this finding are discussed next in more detail. Case management is key for achieving Service User outcomes for complex cases—89% of survey respondents either agreed or strongly agreed this was the case. Interviewees most frequently said they would provide more case management if they could change their service model. Case management allows for more time spent with the Service User, follow up with referral partners, and a higher level of expertise in service delivery to support complex cases. Of course, it is a costly model and not currently funded for all Service Users through ER. Where case management is not available as part of ER, it might be available through a related service that is part of a network of support. Where possible, ER Providers should facilitate access to case management for Service Users who would benefit. At a system level, ER models with a greater component of case management could be implemented as test cases. Referral systems are also key for achieving Service User outcomes, which is reflected in the ER Program Logic presented on page 31. The survey and interview data show that referrals within an integrated service (internal) or in a service hub (co-located) are most effective. Where this is not possible, warm referrals within a trusted network of support are more effective than cold referrals leading to higher take-up and beneficial Service User outcomes. However, cold referrals are most common, pointing to a weakness in ER referral systems. This is because ER Providers do not operate or co-locate with interrelated services in many cases, nor do they have the case management capacity to provide warm referrals in many other cases. For mental illness support, which interviewees identified as one of the most difficult issues to deal with, ER Providers offer an integrated service only 23% of the time, warm referrals 34% of the time, and cold referrals 43% of the time. A focus on referral systems at the individual ER Provider level, and system level through a joined-up approach, might lead to better outcomes for Service Users. The program logic and theory of change for ER have been documented with input from the research findings and included in Section 4.3 on page 31. These show that ER helps people facing a financial crisis to meet their immediate needs, avoid further harm, and access a path to recovery. The research demonstrates that ER is fundamental to supporting vulnerable people in Australia and should therefore continue to be funded by government.
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Andersen, Torben, Tim Bollerslev, Peter Christoffersen, and Francis Diebold. Practical Volatility and Correlation Modeling for Financial Market Risk Management. Cambridge, MA: National Bureau of Economic Research, January 2005. http://dx.doi.org/10.3386/w11069.

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Froot, Kenneth, and Jeremy Stein. Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach. Cambridge, MA: National Bureau of Economic Research, January 1996. http://dx.doi.org/10.3386/w5403.

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Bodnar, Gordon, and Gunther Gebhardt. Derivatives Usage in Risk Management by US and German Non-Financial Firms: A Comparative Survey. Cambridge, MA: National Bureau of Economic Research, August 1998. http://dx.doi.org/10.3386/w6705.

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CHERKASOVA, Ye V., I. A. KORYAGINA, S. I. VOLODKEVICH, P. S. BURLANKOV, and Yu I. ZUBTSOVA. FINANCIAL RISK MANAGEMENT OF SME IN THE DIGITAL ECONOMY: ANALYSIS OF THEORETICAL AND METHODOLOGICAL APPROACHES. Science and Innovation Center Publishing House, April 2022. http://dx.doi.org/10.12731/2070-7568-2022-11-2-3-7-14.

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Effective development of the domestic economy is possible only on condition of mandatory formation of a qualitatively new level of regulation of economic relations in the business environment. By its nature, entrepreneurship is an activity associated with a high level of risk and innovation, aimed at ensuring the interests of both an individual entrepreneur and an enterprise, and society. The purpose of the study, the results of which are presented in this article, is to study theoretical and methodological approaches to managing financial risks of an enterprise in modern dynamically changing conditions.
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Demaestri, Edgardo C., Cynthia Moskovits, and Jimena Chiara. Management of Fiscal and Financial Risks Generated by PPPs: Conceptual Issues and Country Experiences. Inter-American Development Bank, December 2018. http://dx.doi.org/10.18235/0001470.

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This paper discusses the main issues concerning sovereign fiscal and financial risks from public–private partnerships (PPPs) with a focus on contingent liabilities (CLs). It is based on the presentations and discussions that took place during the XI Annual Meeting of the Group of Latin American and the Caribbean Debt Management Specialists (LAC Debt Group), held in Barbados in August 2015. The main issues discussed include PPP risks assessment, institutional framework for PPP risk management, and accounting and reporting of CLs generated by PPPs. Six country cases (Chile, Colombia, Costa Rica, Honduras, Suriname, and Turkey) are presented to illustrate experiences with different degrees of development regarding the management of risks and CLs related to PPPs. The document concludes that PPP risk management should encompass the whole lifecycle of a PPP project, risks need to be identified and CLs must be estimated and monitored, and the institutional capacity of governments to evaluate and manage PPP risks plays a central role in the successful development of PPP contracts. Although institutional capacities in this regard have improved in recent years, estimations of CLs involved in PPPs are not regularly performed, and there is still room for improvement on the assessment, measurement, registration, budgeting, and reporting of risks and CLs related to PPPs.
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