Federal Parliament's most prominent Jewish MP, Treasurer Josh Frydenberg, has warned far-right extremism is rising across the world, including in some parts of Australia.

Key points: Josh Frydenberg said people were seeking to diminish the loss of life in the Holocaust

Josh Frydenberg said people were seeking to diminish the loss of life in the Holocaust He warned about the consequences of the rise of the far right within Australia

He warned about the consequences of the rise of the far right within Australia It comes days after Australia's top spy warned neo-Nazis were emerging as a major threat

In a speech delivered at the opening of a new Australian War Memorial exhibition dedicated to the Holocaust, the deputy Liberal Party leader said many individuals and countries were seeking to deny the mass murder of Jews by Nazi Germany.

"There is the rise of the far right in countries around the world, including in some parts of Australia," Mr Frydenberg said.

"There are people who are seeking to diminish the loss of life during the Holocaust, there are countries that are challenging its very existence."

His comments come days after ASIO director general Mike Burgess warned that neo-Nazis were emerging as one of Australia's most challenging security threats.

"In suburbs around Australia, small cells regularly meet to salute Nazi flags, inspect weapons, train in combat and share their hateful ideology," Mr Burgess said during an address inside ASIO's Canberra headquarters on Monday.

Space to play or pause, M to mute, left and right arrows to seek, up and down arrows for volume. Watch Duration: 54 seconds 54 s Neo-Nazis among Australia's most challenging security threats, ASIO boss Mike Burgess warns

The ASIO boss said the extreme right had been in his agency's sights for some time but had come into "sharp focus" after the Christchurch terror attack last year.

His comments prompted the Opposition to question Prime Minister Scott Morrison in Parliament on Tuesday as to why no far-right organisations had yet been officially designated as terrorist organisations in Australia.

Earlier in the day Home Affairs Minister Peter Dutton had vowed that both far-right and far-left "lunatics" would be dealt with.

In his speech at the War Memorial, Mr Frydenberg said it was important that the memory of the millions killed in Nazi concentration camps was never forgotten.

"This is why we're all here, because at the conclusion of the Second World War, US General Dwight Eisenhower said there would come a time, as he was inspecting the concentration camps, there would come a time that people would deny the Holocaust ever happened," he said.

"So we're here today to honour the dead and their memories, but we're also here to thank the War Memorial for continuing to remind us of this evil, dark period in world history, that we all have a collective duty to say, 'Never again.'"

Earlier on Wednesday the Treasurer praised the Labor Government in his home state of Victoria for "strengthening" Holocaust education in schools.

"Racism and hate stem from ignorance, which is why education, particularly of our young, is so important," Mr Frydenberg tweeted.