Mac Bank and UNSW bring maths to market: Macquarie Bank and the University of New South Wales have announced a joint project to develop and apply new mathematical technologies to value complex financial products

Australian Banking & Finance, April 30, 2007

The project, supported by an Australian Research Council (ARC) Linkage Grant, aims to manage the risk associated with complex financial products by devising faster and more accurate methods for their valuation.

Director of Macquarie Bank's quantitative applications division, Doug Moss, said finance sector products are becoming increasingly complex and there is a need for faster and more accurate valuation tools to meet modern demands.

"The finance industry continues to develop more complex structured offerings to meet market demand but is finding itself restrained by the time it takes to do the complex risk calculations associated with those products," Mr Moss said.

"This joint venture between UNSW and Macquarie Bank is aiming to develop new algorithms that can be used in financial services software applications to reduce the time taken for complex risk calculations from minutes to seconds--without compromising accuracy.

"This will not only lead to an increase in the quality and number of financial products available to the public but will help ensure Australia's financial services sector stays at the cutting edge of innovation and international competitiveness in this high value sector."

Mr Moss said Macquarie Bank would be working with researchers from UNSW's ARC Centre of Excellence for Mathematics and Statistics of Complex Systems (MASCOS), a national research centre with a major node in Sydney.

As well as the Australian Research Council, MASCOS is also supported by the NSW Government, which in its recent innovation statement committed to developing NSW's innovative capacity in a number of key economic sectors, including financial services.

"Financial services is NSW's fastest-growing sector and Sydney's financial services sector is now, on some measures, nearly half that of global-powerhouse London, and more than one-third that of New York," Mr Moss said.