Stefan Trück

Macquarie University Sydney - Department of Applied Finance and Actuarial Studies

Professor iof Finance

North Ryde

Sydney, New South Wales 2109

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

Centre for International Finance and Regulation (CIFR)

Level 7, UNSW CBD Campus

1 O'Connell Street

Sydney, NSW 2000

Australia

SCHOLARLY PAPERS

42

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CITATIONS
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59

Scholarly Papers (42)

1.

Modeling the Price Dynamics of Co2 Emission Allowances

Number of pages: 33 Posted: 19 May 2006 Last Revised: 17 Feb 2014
Eva A. Benz and Stefan Trück
University of Bonn - Bonn Graduate School of Economics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 1,579 (7,579)
Citation 36

Abstract:

CO2 Emission Allowances, Emissions Trading, Spot Price Modeling, Regime-Switching Models

2.

Capital Requirements for SMEs under the Revised Basel II Framework

Banks and Bank Systems, Vol. 1, 2006
Number of pages: 20 Posted: 14 May 2006
Jan S. Henneke and Stefan Trück
University of Karlsruhe (TH) and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 746 (24,540)

Abstract:

Basel Capital Accord, SMEs, Capital Requirements, Asset Correlations

3.

Adjustment and Application of Transition Matrices in Credit Risk Models

Number of pages: 27 Posted: 30 Mar 2005
Stefan Trück and Oezturkmen Emrah
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and University of Karlsruhe - Institute of Statistics and Mathematical Economics
Downloads 613 (30,760)

Abstract:

Credit Risk, Transition Matrices, Rating Based Models

4.

A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses

Applied Probability Trust, December 2004
Number of pages: 16 Posted: 11 Mar 2005
University of California, Santa Barbara, University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Stony Brook University
Downloads 553 (35,489)
Citation 7

Abstract:

Operational risk, censored and truncated cata, EM-Algorithm

Changes in Migration Matrices and Credit VaR - A New Class of Difference Indices

Number of pages: 32 Posted: 19 May 2006
Stefan Trück and Svetlozar Rachev
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Stony Brook University
Downloads 330 (70,360)

Abstract:

Transition Matrices, Matrix Norms, Difference Indices, Rating Migration, Credit VaR

Changes in Migration Matrices and Credit VAR - A New Class of Difference Indices

Number of pages: 53 Posted: 21 Mar 2011
Stefan Trück
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 155 (151,517)

Abstract:

Credit Migration, Matrix Norms, Difference Indices, Credit Value-at-Risk

6.

The Relationship between Spot and Futures CO2 Emission Allowance Prices in the EU-ETS

in Gronwald and Hintermann (eds) Emission Trading Systems as a Climate Policy Instrument - Evaluation and Prospects, MIT Press (Forthcoming)
Number of pages: 24 Posted: 29 Aug 2012 Last Revised: 08 Apr 2014
Stefan Trück, Wolfgang Hardle and Rafal Weron
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Humboldt University of Berlin - School of Business and Economics and Wroclaw University of Technology - Institute of Organization and Management
Downloads 405 (43,301)

Abstract:

CO2 Emission Trading, Commodity Markets, Spot and Futures Prices, Convenience Yields, Dynamic Semiparametric Factor Model (DSFM), Gibson-Schwartz Model

7.

The Term Structure of Credit Spreads and Credit Default Swaps - An Empirical Investigation

Investment Management and Financial Innovations, Vol. 3, 2004
Number of pages: 36 Posted: 07 Sep 2008 Last Revised: 08 Apr 2014
Stefan Trück, Matthias Laub and Svetlozar Rachev
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Universität Karlsruhe - Inst. für Statistik und math. Wirtschaftstheorie and Stony Brook University
Downloads 285 (79,661)
Citation 1

Abstract:

Credit Spreads, Credit Default Swaps, Maturity Effects, Reduced Form Models

8.

Credit Portfolio Risk and PD Confidence Sets through the Business Cycle

Number of pages: 35 Posted: 28 Feb 2005
Stefan Trück and Svetlozar Rachev
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Stony Brook University
Downloads 233 (90,015)

Abstract:

Credit VaR, Transition Matrices, Rating Migration, Business Cycle, Continuous-time Modeling, PD estimation

9.

Style Analysis and Value at Risk of Asia-Focused Hedge Funds

22nd Australasian Finance and Banking Conference 2009
Number of pages: 34 Posted: 24 Aug 2009 Last Revised: 15 Sep 2010
Haijie Weng and Stefan Trück
Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 226 (103,406)

Abstract:

Hedge fund; Style analysis; Value-at-risk; Emerging markets.

10.

Hedging Gold and Oil Portfolios in Different Regimes

Number of pages: 25 Posted: 01 Aug 2012
Ning Rong and Stefan Trück
Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 159 (136,005)

Abstract:

dynamic hedging, optimal hedging ratio, DCCX model, Markov regime switching models

11.

Simulating Dependent Credit Migrations

Number of pages: 25 Posted: 17 Feb 2009
Stefan Trück
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 144 (148,778)

Abstract:

Credit Risk, Rating Migrations, Dependence, Markov Chains, Copulas, Simulation

12.

The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis

CESifo Working Paper Series No. 3418
Number of pages: 39 Posted: 27 Apr 2011
Marc Gronwald, Janina Ketterer and Stefan Trück
University of Aberdeen, CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 142 (149,589)
Citation 1

Abstract:

CO2 emission trading, commodity markets, copula models, dependence structure

Systemic Financial Risk Inference in a Global Setting

CIFR Paper No. 029/2014
Number of pages: 31 Posted: 16 Jul 2014
Jeffrey Sheen, Stefan Trück, Chi Truong and Ben Zhe Wang
Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Macquarie University and Macquarie University, Faculty of Business and Economics
Downloads 91 (227,680)

Abstract:

Systemic financial risk, Factor models, Mixed frequency models, Kalman filter,

Systemic Financial Risk Inference in a Global Setting

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 29 Posted: 16 Aug 2014
Jeffrey Sheen, Stefan Trück, Chi Truong and Ben Zhe Wang
Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Macquarie University and Macquarie University, Faculty of Business and Economics
Downloads 40 (349,661)

Abstract:

Systemic financial risk, Factor models, Mixed frequency models, Kalman filter, State-space model, Hurdle model

14.

Modeling the Dependence Structure between Australian Equity and Real Estate Markets – A Copula Approach

Number of pages: 31 Posted: 22 Aug 2010 Last Revised: 27 Aug 2012
Stefan Trück and Ning Rong
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University
Downloads 116 (180,216)

Abstract:

REITS, Dependence Structure, GARCH, Dynamic Correlation, Copula Models, Goodness-of-Fit Tests, Risk Analysis

15.

Regional and Global Contagion in Real Estate Investment Trusts: The Case of the Financial Crisis of 2007-2009

Number of pages: 20 Posted: 01 Mar 2012
George Milunovich and Stefan Trück
Macquarie University - Department of Economics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 112 (178,074)

Abstract:

Financial Contagion, Real Estate Investment Trusts, Equity Markets, Global Financial Crisis

16.

Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management

Number of pages: 35 Posted: 25 Jan 2012 Last Revised: 30 Sep 2015
Katja Ignatieva and Stefan Trück
University of New South Wales - Australian School of Business and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 103 (174,776)

Abstract:

Electricity Markets, Copula, Dependence Modeling, Risk Management

17.

An Empirical Comparison of Alternate Schemes for Combining Electricity Spot Price Forecasts

Number of pages: 28 Posted: 22 Aug 2013
Wroclaw University of Technology - Institute of Organization and Management, APG Asset Management, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Technology - Institute of Organization and Management
Downloads 70 (235,765)

Abstract:

Electricity price forecasting, Forecasts combination, ARX model, Day-ahead market

18.

The Diversification Delta: A Different Perspective

CIFR Paper No. 047/2014
Number of pages: 36 Posted: 05 Nov 2014
University of Essex - Centre for Computational Finance and Economic Agents, Griffith University, Griffith University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 66 (198,337)

Abstract:

Portfolio Optimization, Diversification Measures, Risk Management

19.

Modelling Catastrophe Claims with Left-Truncated Severity Distributions (Extended Version)

Hugo Steinhaus Center for Stochastic Methods Research Report No. HSC/05/1
Number of pages: 31 Posted: 04 Sep 2008
University of California, Santa Barbara, Hugo Steinhaus Center, Stony Brook University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Technology - Institute of Organization and Management
Downloads 59 (277,665)

Abstract:

Natural Catastrophe, Property Insurance, Loss Distribution, Truncated Data, Ruin Probability

20.

Identifying Spikes and Seasonal Components in Electricity Spot Price Data: A Guide to Robust Modeling

Number of pages: 33 Posted: 11 Jun 2012
Hugo Steinhaus Center, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Wroclaw University of Technology - Institute of Organization and Management and Queensland University of Technology - School of Economics and Finance
Downloads 54 (277,665)
Citation 2

Abstract:

Electricity spot price, Outlier treatment, Price spike, Robust modeling, Seasonality

21.

Unbiasedness and Risk Premiums in the Indian Currency Futures Market

Journal of International Financial Markets, Institutions and Money, Vol. 29, 2014
Number of pages: 27 Posted: 28 Aug 2012 Last Revised: 02 Jul 2015
Satish Kumar and Stefan Trück
The ICFAI Foundation for Higher Education (IFHE) and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 51 (294,292)

Abstract:

currency futures markets, risk premiums, unbiasedness hypothesis, realized volatility

22.

Risk Premiums in Interconnected Australian Electricity Futures Markets

Number of pages: 33 Posted: 17 Jun 2013
Rangga Handika and Stefan Trück
Department of Applied Finance and Actuarial Studies and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 40 (266,630)

Abstract:

Electricity Markets, Spot and Futures Prices, Risk Premiums, Regional Markets, Seemingly Unrelated Regression

23.

Understanding a Small Open Economy Business Conditions Index

CIFR Paper No. 016/2014
Number of pages: 28 Posted: 30 May 2014
Jeffrey Sheen, Stefan Trück and Ben Zhe Wang
Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Faculty of Business and Economics
Downloads 31 (339,642)

Abstract:

Business conditions, Kalman fi lter, State-space model, Australia, Dynamic factor model, Mixed frequency

24.

Quantifying Catastrophic and Climate Impacted Hazards Based on Local Expert Opinions

FEEM Working Paper No. 093.2014
Number of pages: 28 Posted: 11 Nov 2014
Macquarie University, Faculty of Business and Economics, Macquarie University, Faculty of Business and Economics, Charles Darwin University, Northern Institute and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 19 (396,277)

Abstract:

Catastrophic Risks, Climate Impacted Hazards, Expert Opinions, Local Level Decision Making, Loss Distribution Approach

25.

Forecasting the Term Structure of Interest Rates Near the Zero Bound - A New Era?

Number of pages: 48 Posted: 21 Aug 2015 Last Revised: 23 Jul 2016
Stefan Trück and Dennis Wellmann
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University
Downloads 10 (258,321)

Abstract:

Term structure of interest rates, Low interest rate environment, Yield curve forecasting, Dynamic factor models

Daily Business and External Condition Indices for the Australian Economy

Number of pages: 27 Posted: 26 Mar 2015
Jeffrey Sheen, Stefan Trück and Ben Zhe Wang
Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Faculty of Business and Economics
Downloads 7 (513,544)

Abstract:

Business conditions, Kalman filter, State-space model, Dynamic factor model, Mixed frequency

Daily Business and External Condition Indices for the Australian Economy

Economic Record, Vol. 91, pp. 38-53, 2015
Number of pages: 16 Posted: 05 Jun 2015
Jeffrey Sheen, Stefan Trück and Ben Zhe Wang
Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Faculty of Business and Economics
Downloads 0

Abstract:

27.

The Relationship between Carbon, Commodity and Financial Markets: A Copula Analysis

Economic Record, Vol. 87, pp. 105-124, 2011
Number of pages: 20 Posted: 22 Aug 2011
Marc Gronwald, Janina Ketterer and Stefan Trück
University of Aberdeen, CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 3 (509,069)
Citation 1

Abstract:

Q28, G13, C19

28.

Convenience Yields for Co2 Emission Allowance Futures Contracts

SFB 649 Discussion Paper 2006-076
Number of pages: 30 Posted: 09 Jan 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Technology - Institute of Organization and Management
Downloads 0 (495,846)
Citation 11

Abstract:

CO2 Emission Trading, Commodity Markets, Spot and Futures Prices, Convenience Yields.

29.

The Dynamics of Hourly Electricity Prices

SFB 649 Discussion Paper 2010-013
Number of pages: 24 Posted: 09 Jan 2017
Wolfgang K. Härdle and Stefan Trück
Humboldt University of Berlin - Institute for Statistics and Econometrics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 0 (495,846)

Abstract:

Power Markets, Dynamic Semi-parametric Factor Models, Day-ahead Electricity Prices

30.

Financing Alternative Energy Projects: An Examination of Challenges and Opportunities for Local Government

Cheung, G., Davies, P., Trück, S., 2016, Financing alternative energy projects: an examination of challenges and opportunities for local government, Energy Policy, 97, 354-364.,
Number of pages: 43 Posted: 27 Dec 2016
Grace Cheung, Peter J Davies and Stefan Trück
Macquarie University, Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 0 (491,246)

Abstract:

Renewable energy, Local government, Investment decision, Climate mitigation policy

31.

Convenience Yields and Risk Premiums in the EU-ETS - Evidence from the Kyoto Commitment Period

Trück, S., Weron, R., 2016. Convenience Yields and Risk Premiums in the EU-ETS - Evidence from the Kyoto Commitment Period, The Journal of Futures Markets, Vol. 36, No. 6, 587–611.,
Number of pages: 27 Posted: 27 Dec 2016
Stefan Trück and Rafal Weron
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Technology - Institute of Organization and Management
Downloads 0 (481,677)

Abstract:

CO2 Emissions Trading, Commodity Markets, Spot and Futures Prices, Convenience Yields, Risk Premiums

32.

Carbon Pricing, Forward Risk Premiums and Pass-Through Rates in Australian Electricity Futures Markets

Number of pages: 29 Posted: 27 Dec 2016
Paweł Maryniak, Stefan Trück and Rafal Weron
Wroclaw University of Technology, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Technology - Institute of Organization and Management
Downloads 0 (451,214)

Abstract:

Carbon Tax, Carbon Pass-Through Rate, Forward Risk Premium, Electricity Market, Spot and Futures Prices

33.

It's Not Now or Never: Implications of Investment Timing and Risk Aversion on Climate Adaptation to Extreme Events

Truong, C., Trück, S., 2016, It's not now or never: Implications of Investment Timing and Risk Aversion on Climate Adaptation to Extreme Events, European Journal of Operational Research, 256, 856-868,
Number of pages: 37 Posted: 27 Dec 2016
Chi Truong and Stefan Trück
Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 0 (446,198)

Abstract:

Climate change adaptation, Investment timing, Catastrophic risk, Risk aversion, Real option

34.

The Dynamics of Returns on Renewable Energy Companies: A State-Space Approach

Energy Economics, Vol. 48, 2015
Number of pages: 22 Posted: 27 Dec 2016
Julian Inchauspe, Ronald D. Ripple and Stefan Trück
School of Economics and Finance, Curtin University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 0 (456,366)

Abstract:

Renewable Energy, Oil Price, State-Space Models, CAPM, WilderHill New Energy Index

35.

Kochi, India Case Study of Climate Adaptation to Floods: Ranking Local Government Investment Options

Mathew, S., Trück, S., Henderson-Sellers, A., 2012. Kochi, India case study of climate adaptation to floods: ranking local government investment options, Global Environmental Change, 22, 308-319.,
Number of pages: 30 Posted: 27 Dec 2016
Charles Darwin University, Northern Institute, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University
Downloads 0 (514,595)

Abstract:

Climate change, Adaptation options, Local government, Flood extremes, Bayesian inference, Delphi method

36.

Real Estate Cycles and Bank Systemic Risks

CIFR Paper No. 120/2016
Number of pages: 37 Posted: 27 Aug 2016
Macquarie University, College of Commerce, Division of Economic and Financial Studies, Department of Economics, Students, Macquarie University, Faculty of Business and Economics, Macquarie University, Faculty of Business and Economics, Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 0 (310,091)

Abstract:

37.

Time Series Properties of a Rating System Based on Financial Ratios

Bundesbank Series 2 Discussion Paper No. 2005,14
Number of pages: 61 Posted: 08 Jun 2016
Ulrich Krüger, Martin Stötzel and Stefan Trück
Deutsche Bundesbank, University of Karlsruhe and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 0 (359,790)

Abstract:

Reduced Form Models, Rating Transitions, Markov Property, Internal Rating Systems, Time Homogeneity, Matrix Norms

38.

Exchange Rates and Unobservable Fundamentals: A New Approach to Out-of-Sample Forecasting

FIRN Research Paper No. 2760772
Number of pages: 48 Posted: 10 Apr 2016 Last Revised: 10 Nov 2016
Dennis Wellmann and Stefan Trück
Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 0 (180,216)

Abstract:

Macroeconomic Fundamentals, Exchange Rate Forecasting, Financial Variables

39.

Factors of the Term Structure of Sovereign Yield Spreads

FIRN Research Paper No. 2760709
Number of pages: 43 Posted: 09 Apr 2016 Last Revised: 23 Jul 2016
Stefan Trück and Dennis Wellmann
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University
Downloads 0 (275,431)

Abstract:

Sovereign Yield Spreads, Term Structure Modeling, Principal Component Analysis, Macroeconomic Fundamentals, Exchange Rate Forecasts

40.

Modelling Electricity Prices: Jump Diffusion and Regime Switching

Physica A: Statistical Methods and It's Applications, Vol. 336, pp. 39-48, 2004
Posted: 07 Sep 2008 Last Revised: 13 Sep 2008
Rafal Weron, Bierbrauer Michael and Stefan Trück
Wroclaw University of Technology - Institute of Organization and Management, affiliation not provided to SSRN and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies

Abstract:

Electricity price, Jump diffusion, Regime switching, Seasonality

41.

Quantifying Risk in the Electricity Business: A RAROC-based Approach

Energy Economics, Vol. 29, No. 5, 2007
Posted: 24 Oct 2007
Stony Brook University, Leibniz Universität Hannover - Faculty of Economics and Management, affiliation not provided to SSRN and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies

Abstract:

Power Markets, Spot Market Prices, Load Contracts, Risk Management, RAROC

42.

Credit Portfolio Risk and Probability of Default Confidence Sets through the Business Cycle

Journal of Credit Risk, Vol. 1, No. 4, Fall 2005
Posted: 10 May 2006
Stefan Trück and Svetlozar Rachev
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Stony Brook University

Abstract:

transition matrices, VAR, credit portfolios, migration matrices, value-at-risk, loan portfolios, PD, probability default, bootstrapping