Organisation

Centre for International Finance and Regulation

Owning Institution:

University of New South Wales

Macquarie University

University of Technology Sydney

Government of Australia

Government of New South Wales

University of Sydney

University of Melbourne

Australian National University

The Centre for International Finance and Regulation (CIFR) was a Centre of Excellence operating from 2011 to 2016 to address fundamental issues affecting the Australian financial industry. CIFR’s mission was to promote financial sector vibrancy, resilience and integrity, supporting Australia as a regional financial centre through leading research and education on systemic risk, market and regulatory performance and financial market developments. CIFR funded 71 research projects, involving well over 100 researchers from domestic and international universities.

For Australia’s financial industry, CIFR provided a strategic link between academia, policy-makers, regulators and other industry participants. Now closed, the Centre's output of 148 papers are all available at this publisher page.

Working paper

Understanding assurance in the Australian self-managed superannuation fund industry

31 Mar 2014

Centre for International Finance and Regulation

Abstract

Working paper

Decomposing the smile: systematic credit risk in mortgage Portfolios

31 Mar 2014

Yongwoong Lee,

Daniel Roesch,

Harald Scheule

Centre for International Finance and Regulation

This study analyzes systematic and non-systematic credit risk in mortgage portfolios given US loan-level information by controlling for time-varying observable information in relation to the borrower, the collateral and the macro economy. The total risk in relation to rating class default rates is decomposed into systematic and class-specic non-systematic risk by a state space model...

Working paper

State capital: Global and Australian perspectives

31 Mar 2014

George Gilligan,

Megan Bowman

Centre for International Finance and Regulation

This paper examines how swiftly core characteristics of the global economy are changing and the implications for Foreign Direct Investment (FDI) into Australia, especially FDI from China. The paper focuses on how state investment capital is an increasingly important strategic priority for governments, regulators, finance sector participants and other stakeholders. This is of the utmost...

Working paper

Ratings-based capital adequacy for securitizations

31 Mar 2014

Kristina Lutzenkirchen,

Daniel Rosch,

Harald Scheule

Centre for International Finance and Regulation

This paper develops a framework to measure the exposure to systematic risk for pools of asset securitizations and measures empirically whether current ratings-based rules for regulatory capital of securitizations under Basel II and Basel III reflect this exposure.

Working paper

Dynamic implied correlation modeling and forecasting in structured finance

30 Mar 2014

Centre for International Finance and Regulation

The market volume of credit derivatives increased rapidly from $180 billion in 1996 to over $57 trillion in 2008 (BBA, 2006; BIS, 2010). This growth rate highlights the importance of these new instruments in nancial markets. Consequences of the global nancial crisis (GFC), e.g., the Lehman Brothers' bankruptcy in 2008, underline the challenge to aggregate...