Stefan Trück

Macquarie University Sydney - Department of Applied Finance and Actuarial Studies

Professor of 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

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

SCHOLARLY PAPERS

45

DOWNLOADS
Rank 4,937

SSRN RANKINGS

Top 4,937

in Total Papers Downloads

8,354

SSRN CITATIONS
Rank 12,386

SSRN RANKINGS

Top 12,386

in Total Papers Citations

22

CROSSREF CITATIONS

49

Scholarly Papers (45)

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 1,684 (9,618)
Citation 7

Abstract:

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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 770 (31,350)

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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 691 (36,323)

Abstract:

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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 Texas Tech University
Downloads 609 (42,993)

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Operational risk, censored and truncated cata, EM-Algorithm

5.

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 K. Härdle and Rafal Weron
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Humboldt University of Berlin - Institute for Statistics and Econometrics and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 589 (45,094)
Citation 1

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

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 Texas Tech University
Downloads 341 (86,889)
Citation 1

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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 181 (166,259)
Citation 1

Abstract:

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

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 Texas Tech University
Downloads 321 (93,536)

Abstract:

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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 Texas Tech University
Downloads 311 (96,911)
Citation 2

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

9.

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 245 (124,699)
Citation 1

Abstract:

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Macroeconomic Fundamentals, Exchange Rate Forecasting, Financial Variables

10.

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 241 (126,807)

Abstract:

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

11.

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 191 (158,345)

Abstract:

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

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 173 (173,071)

Abstract:

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

13.

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 173 (173,071)

Abstract:

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

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, Macquarie Business School
Downloads 99 (268,550)

Abstract:

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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, Macquarie Business School
Downloads 48 (402,000)

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

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 147 (198,602)

Abstract:

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

16.

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 146 (199,719)

Abstract:

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

17.

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

Number of pages: 35 Posted: 25 Jan 2012 Last Revised: 03 Oct 2017
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 141 (205,441)
Citation 2

Abstract:

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Electricity Markets, Copula, Dependence Modeling, Risk Management

18.

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 Science and Technology, Department of Operations Research
Downloads 119 (234,425)
Citation 2

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

19.

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 106 (254,596)

Abstract:

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

20.

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 105 (256,336)
Citation 1

Abstract:

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

21.

Factors of the Term Structure of Sovereign Yield Spreads

FIRN Research Paper No. 2760709
Number of pages: 38 Posted: 09 Apr 2016 Last Revised: 21 Nov 2017
Dennis Wellmann and Stefan Trück
Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 103 (259,745)
Citation 1

Abstract:

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

22.

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, Texas Tech University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 80 (304,958)
Citation 5

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

23.

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, Macquarie Business School, Macquarie University, Macquarie Business School, Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 77 (311,909)

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24.

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 Science and Technology, Department of Operations Research and Queensland University of Technology - School of Economics and Finance
Downloads 77 (311,909)
Citation 4

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

25.

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 67 (337,009)
Citation 1

Abstract:

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

26.

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 Science and Technology, Department of Operations Research
Downloads 58 (362,486)
Citation 1

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

27.

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 52 (381,503)
Citation 5

Abstract:

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

28.

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, Macquarie Business School
Downloads 47 (398,454)
Citation 2

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

29.

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 Science and Technology, Department of Operations Research
Downloads 45 (405,560)
Citation 30

Abstract:

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

30.

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 42 (416,697)

Abstract:

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

31.

The Impact of News on US Household Inflation Expectations

SFB 649 Discussion Paper 2017-011
Number of pages: 14 Posted: 29 May 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics, Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Macquarie Business School
Downloads 36 (440,578)

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Inflation expectations, news impact, forecast disagreement

32.

An Analytical Model for Standard and Volumetric Cap and Floor Pricing in Electricity Markets

Number of pages: 24 Posted: 25 Nov 2015 Last Revised: 16 May 2019
Joe Maisano, Alex Radchik and Stefan Trück
Green Trading Systems Pty. Ltd., Green Trading Systems Pty Ltd and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 35 (444,706)

Abstract:

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electricity, risk management, options, cap, floor, volumetric, demand, spot price

33.

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, Macquarie Business School, Macquarie University, Macquarie Business School, Charles Darwin University, Northern Institute and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 33 (453,404)

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

34.

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 32 (457,857)
Citation 5

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

35.

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 Science and Technology, Department of Operations Research
Downloads 32 (457,857)
Citation 1

Abstract:

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

36.

Over the Top? Overpricing and Advertising Effectiveness

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 39 Posted: 28 Nov 2018 Last Revised: 30 Apr 2019
Moritz Lukas, Vito Mollica, Markus Noeth and Stefan Trück
University of Hamburg, Macquarie Graduate School of Management, University of Hamburg and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 31 (462,507)

Abstract:

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Behavioral Economics, Prospect Theory, Real Estate Economics, Housing Markets

37.

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 27 (482,420)

Abstract:

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

38.

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 Davies and Stefan Trück
Macquarie University, Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 18 (533,611)

Abstract:

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

39.

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 16 (545,372)

Abstract:

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

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, Macquarie Business School
Downloads 11 (599,902)

Abstract:

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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, Macquarie Business School
Downloads 1 (684,351)
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41.

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 (629,833)
Citation 2
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Q28, G13, C19

42.

The Diversification Delta: A Different Perspective

Posted: 22 May 2019
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

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Portfolio Optimization, Diversification Measures, Risk Management

43.

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 Science and Technology, Department of Operations Research, affiliation not provided to SSRN and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies

Abstract:

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Electricity price, Jump diffusion, Regime switching, Seasonality

44.

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

Energy Economics, Vol. 29, No. 5, 2007
Posted: 24 Oct 2007
Texas Tech 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

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

45.

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 Texas Tech University

Abstract:

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

Other Papers (5)

Total Downloads: 41
1.

Stable Modeling of Different European Power Markets

Investment Management & Financial Innovations, Vol. 2, No. 3, 2005
Number of pages: 28 Posted: 12 Mar 2005 Last Revised: 07 Sep 2008
Christian Mugele, Svetlozar Rachev and Stefan Trück
Munich Graduate School of Economics, Texas Tech University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 34

Abstract:

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Stable distribution, electricity prices, GARCH model, time series

2.

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

Number of pages: 35 Posted: 20 Aug 2015
Dennis Wellmann and Stefan Trück
Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 2

Abstract:

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Macroeconomic Fundamentals, Exchange Rate Forecasting, Financial Variables

3.

The Term Structure of Realized Risk Premiums in Currency Forward Markets

2015 Financial Markets & Corporate Governance Conference
Number of pages: 37 Posted: 01 Feb 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 2

Abstract:

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Currency Forward Markets, Term Structure, Risk Premiums, Principal Components, Factor Analysis

4.

Forecasting the Term Structure of Sovereign Spreads

Number of pages: 32 Posted: 14 Feb 2014
Dennis Wellmann and Stefan Trück
Macquarie University and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 2

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Sovereign Spreads, Term Structure Forecasting, Dynamic Latent Factor Models, Principal Component Analysis

5.

Unbiasedness and Risk Premiums in the Indian Currency Futures Market

Kumar, S., Trück, S., 2014. Unbiasedness and risk premiums in the Indian currency futures market, Journal of International Financial Markets, Institutions and Money, 29, 13-32.
Number of pages: 28 Posted: 01 Feb 2013 Last Revised: 26 Dec 2016
Satish Kumar and Stefan Trück
The ICFAI Foundation for Higher Education (IFHE) and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 1

Abstract:

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Currency Futures Markets, Risk Premiums, Unbiasedness Hypothesis, Realized Volatility