Higher degree research

The Research School of Finance, Actuarial Studies and Statistics offers suitability qualified candidates the opportunity to undertake a Doctor of Philosophy (PhD) or Master of Philosophy (MPhil) in Actuarial Studies, Statistics or Finance. The three PhD and MPhil programs draw upon the expertise of international researchers located in The Australian National University. Full-time study for the PhD programs normally takes three to four years, and MPhil study takes one to two years. Information on the HDR programs offered within RSFAS, current and past student profiles, and information on support and resources available to HDR students, can be found below.

HDR programs

Information on each of the three PhD and MPhil programs offered within RSFAS can be found below:

Support for HDR students within RSFAS

Each HDR candidate within RSFAS has access to an individual desk, desktop computer, and shared printer. They also have access to the staff resources within RSFAS, including tea room, photocopier and fax machines, colour printers, and stationery. 
     
During their HDR program, candidates are provided with funding to attend and present their research at national and international conferences, for data purchases, for attendance at short courses and workshops, for book purchases, and for related research expenditure. Funds are also made available for journal submission fees and thesis editing costs.
     
Candidates also have access to a large number of financial databases for empirical work. 
      
HDR candidates have the opportunity to improve their knowledge and develop contacts by attending and participating in the weekly RSFAS Seminar Series where national and international academics are invited to present their latest research. 
      
Candidates are able to apply for scholarships that provide financial support for fees and living costs, and may also have the opportunity to supplement their income through casual employment as tutors (i.e., teaching assistants) in RSFAS. Also, from time to time, certain RSFAS academics may have research grants and may be looking for research assistants.

Past PhD students

2005

Thesis title

Helen Johnson Truncated Models and Monte Carlo Markov Chain Methods
David Pitt Actuarial Applications of Extreme Value Statistical Theory
Stephen Sault Movements in Global Stock Volatility - A Disaggregated Approach
Suparatana Tanthanongsakkun Essays on Default Risk: Australian Evidence
Qi Kenneth Wang Volatility: A Market-Based Approach

2006

Thesis title

Ashraf Chaudhry Quantitative Performance Evaluation of Benchmarked Active Funds
Xi He Addressing Endogeneity: An Empirical Analysis of the Relationship between Corporate Diversification and Firm Value
Linc Thurect Models of the Bid-Ask Spread and Informed Trading on the Australian Stock Exchange

2007

Thesis title

Shumi Akhtar A Study of Capital Structure and Dividend Policy Determinants in Multinational and Domestic Corporations 
Kathryn Barraclough A State-Contingent Claim Approach to Asset Pricing
Jenni Bettman Fundamental and Technical Analysis: Substitutes or Complements
John Daniel A Model of Prepayment in the Australian Mortgage Backed Security Market
Souliphone Pholsena Three Essays in Microstructure of Derivative Markets
Jie Sun Topics in Asset and Liability Management

2008

Thesis title

Lin Cui FDI Entry Mode Choice of Chinese Multinational Enterprises
Mark Stewart Takeovers and Returns to Shareholders of Target Firms

2009

Thesis title

Genevieve Hayes Stochastic Solvency Testing in Life Insurance
Haslifah Hasim Revision Method of Human Life Value and Needs Analysis
Ben O'Neill Dealing with Non-Response and Self Selection: A Bayesian approach

2010

Thesis title

Dean Katselas Transparency and Accounting Standards
David Service Disability Income Insurance:  the Australian Experience 1980-2001

2011

Thesis title

Adam Butt Actuarial Implications of Closed Defined Benefit Superannuation/Pension Plans
Timothy Higgins Essays in the Development and Costing of Income Contingent Loans
Yin Liao Essays on Jumps and Common Jumps in Financial Volatility
Letian Zheng New Spatio-Temporal Models of Australian Rainfall and Temperature Data

2012

Thesis title

Richard Cumpston New Techniques for Household Microsimulation and their Application to Australia
Priya Dev Option Pricing for Fractional Activity Time Geometric Brownian Motion
Vijay Murik Essays on Finance Economics
Meifan Qian Measuring the Probability of Informed Trading Around Corporate Announcements
Sviatoslav Rosov Information in Retail Foreign Exchange Markets
Laura Ryan Model Selection in the Context of Zero Non Zero Patterned Vector Autoregression Models
Bin Yu Investor Reaction to Manipulation of Performance Measures

2013

Thesis title

Jozef Drienko Testing Asset Pricing Models Using Market Expectations
Jennifer Gippel A Revolution in Finance?
Gaurav Khemka The Impact of Economic Changes on Disability Income Insurance and Health in Australia
John Swieringa Emissions Allowances and Energy Markets
Anna Von Reibnitz Cross-Sectional Return Dispersion and the Performance of Active Funds

2014

Thesis title

Yanlin Shi Essays on Time Series Analysis
Ying Jiang Model Selection Methods in Air Pollution Mortality Time Series Studies
Thu Lan Ho Investment in Tuna Fishing in Vietnam: Investors' Motivations, Concerns and Sustainability Issues
Aaron Bruhn What Happens When it All Goes Wrong? A Study Into the Impacts of Personal Financial Shocks

2015

Thesis title

Mo Yang Confidence Estimation via Tail Functions
Lulu Fu Statistical and Computational Issues in Fitting a New Model for Indigenous Life Expectancy
Yuguang Fan A Study in Lightly Trimmed Levy Processes
Lingbing Feng Essays on Spatio-temporal Data Analysis: Imputation, Modelling and Prediction
Fei Huang Stochastic Modelling of Actuarial Assumptions Using Chinese Data

2016

Thesis title

Jananie William Maternal Health System Costs of Adverse Birth Outcomes
Guangyuan (Michael) Gao Three Essays on Bayesian Claims Reserving Methods in General Insurance

Careers Options

This list is not meant to be exhaustive, but rather provides an example of possible career opportunities for HDR graduates from RSFAS

      

Statistics and Actuarial Studies

  • University academic
  • Researcher within scientific, medical or health research organizations
  • Researcher and Analyst within government departments, such as the Bureau of Statistics, Institute of Health and Welfare, Departments of Health, Agriculture, Education, Finance and Treasury
  • Researcher and Quantitative data analyst within the corporate sector, including banking, finance and insurance, pharmaceutical, or energy and mining sectors
  • Management consultancy and Actuarial consultancy

 

Finance

  • The Finance PhD program at ANU is focused on developing students for a career primarily within academia
  • Researcher or Associate within the banking and financial sector, including investment banking. Roles may include senior positions in investment or quantitative analysis, mergers and acquisitions and business analysis, among others
  • Researcher and Policy advisor at various institutions including: central banks, bank regulators, multi-lateral organisations such as the World Bank, IMF, OECD, and ADB, and within government departments such as Treasury and Finance

Updated:   12 March 2016 / Responsible Officer:  Dean, Business & Economics / Page Contact:  College Web Team