Aeroplanes queueing for takeoff.

Quantitative risk management

CSIRO’s work in risk management covers all aspects from identifying a problem to providing a software-based solution.

• 19 November 2007 | Updated 14 October 2011

• Finance
• Air transport
• Security and infrastructure 
• Future research directions
• The team

CSIRO delivers robust, reliable measures of risk across three main industries:

• finance
• air transport
• security and infrastructure. 

Our work draws on our:

• innovative research
• strong national and international links
• core of intellectual property.

Finance

In finance, we are the provider of choice for several major banks when they need mathematical or statistical support, particularly in recent years in relation to compliance with the Basel II accord and the fulfilment of requirements for the Australian Prudential Regulation Authority (APRA).

We have a broad range of experience across operational, credit and market risk.

Our software package for exotic option-pricing, Reditus™, is attracting sales worldwide.

Air transport

In air transport, we have developed new approaches to long-standing problems in collision avoidance in airspace.

Our mathematical modelling for navigation guidance and control systems has set new benchmarks on performance that have been recognised internationally.

Our work not only has engineering significance in day-to-day operations but also has had impact at the parliamentary level and through national regulations governing aircraft operations at critical locations.

Security and infrastructure

Following our earlier work in modelling failures in water distribution systems, we are now developing methods for anomaly detection in data collected from sensors around the water distribution system. 

We are working on applications in real-time monitoring in a number of areas, including:

• hospital admission data
• water networks
• other sensor networks.

As a result of our work in operational risk and options pricing, we are now extending our activities to:

• electricity markets
• the use of real options in the pricing and assessment of infrastructure developments
• risk and threat assessments for infrastructure assets.

Future research directions

Future work involves developing risk management methods for:

• extreme events, which are low in probability but high in consequence
• sparse data, where standard data techniques need to be supplemented by methods such as expert elicitation
• extending our work in options pricing to interest rate and commodities markets and to the theory of real options and portfolio analysis, particularly in relation to energy markets and other infrastructure assets 
• collision detection and avoidance systems for civilian aircraft and unmanned aerial vehicles 
• real-time monitoring and surveillance, with an emphasis on the detection of anomalous events.

The team

Our staff have skills across a range of mathematical disciplines, particularly:

• applied mathematics
• statistics
• operations research
• software engineering.

This enables us to take a broad-based approach to different problems and to follow through from identifying a problem to providing a software-based solution.

Find out more about CSIRO’s work in Risk Management & Decision SupportRisk Management & Decision SupportRisk Management & Decision Support.