Peter N. Posch

TU Dortmund University

Otto Hahn Str. 6

Dortmund, 44227

Germany

SCHOLARLY PAPERS

24

DOWNLOADS

1,998

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (24)

1.

Behavioural Patterns in Rogue Trading: Analysing the Cases of Nick Leeson, Jérôme Kerviel, and Kweku Adoboli

Rafeld, H., Fritz-Morgenthal, S., and Posch, P. (2017). Behavioural patterns in rogue trading: Analysing the cases of Nick Leeson, Jérôme Kerviel and Kweku Adoboli. Journal of Financial Compliance, 1(2): 156–71.
Number of pages: 21 Posted: 29 Mar 2017 Last Revised: 04 Jan 2018
Technical University of Dortmund, Frankfurt School of Finance & Management gemeinnützige GmbH and TU Dortmund University
Downloads 326 (92,847)

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behaviour risk management, control balance, deviance, rogue trading, unauthorized trading

2.

Bail-In and Asset Encumbrance: Implications for Banks’ Asset Liability Management

Journal of Banking Regulation, Forthcoming
Number of pages: 27 Posted: 06 Jan 2015 Last Revised: 10 Mar 2016
Peter N. Posch, Johannes Luebbers and Joachim Erhardt
TU Dortmund University, Technical University of Dortmund and Technical University of Dortmund
Downloads 260 (118,432)

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Asset Encumbrance, Asset-Liability Management, Structured Covered Bond

3.

Whale Watching on the Trading Floor: Unravelling Collusive Rogue Trading in Banks

Number of pages: 51 Posted: 19 Jul 2017 Last Revised: 25 Jul 2018
Technical University of Dortmund, Frankfurt School of Finance & Management gemeinnützige GmbH and TU Dortmund University
Downloads 220 (140,016)

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behavioural risk, collusion, corporate culture, misconduct, organizational misbehaviour theory, rogue trading

4.

Bayesian Methods for Improving Credit Scoring Models

Number of pages: 26 Posted: 13 Jun 2005 Last Revised: 23 Oct 2010
Gunter Löffler, Peter N. Posch and Christiane Schone
Ulm University, TU Dortmund University and Independent
Downloads 166 (181,093)
Citation 2

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Credit scoring, Bayesian inference, bankruptcy prediction

5.

Does Central Clearing Benefit Risky Dealers?

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 31 Posted: 31 Dec 2014 Last Revised: 10 Mar 2016
Sergio Mayordomo and Peter N. Posch
Banco de España and TU Dortmund University
Downloads 153 (194,105)
Citation 2

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central clearing, counterparty risk, credit default swaps

6.

How Does Hedge Accounting Influence Firm Value?

Number of pages: 31 Posted: 25 Feb 2018
Gerrit Köchling and Peter N. Posch
University of Dortmund and TU Dortmund University
Downloads 117 (239,665)

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Hedge Accounting, Firm Value, Derivatives ,Text Analysis

7.

Commodities’ Common Factor. An Empirical Assessment of the Markets’ Drivers

Number of pages: 32 Posted: 19 Jan 2016 Last Revised: 14 Feb 2017
Johannes Luebbers and Peter N. Posch
Technical University of Dortmund and TU Dortmund University
Downloads 116 (241,168)

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Commodity-specific common factors, Generalized Dynamic Factor Models, Co-movement

8.

Do Firms Hedge in Order to Avoid Financial Distress Costs? New Empirical Evidence Using Bank Data

Number of pages: 41 Posted: 13 Feb 2018 Last Revised: 12 Nov 2018
Lutz Hahnenstein, Gerrit Köchling and Peter N. Posch
Ampega Asset Management GmbH, University of Dortmund and TU Dortmund University
Downloads 83 (301,233)

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Corporate Hedging, Bankruptcy costs, Financial Distress, Derivatives

9.

Estimation of Large Correlation Matrix with Shrinking Methods

Number of pages: 15 Posted: 19 Mar 2016
Peter N. Posch and Daniel Ullmann
TU Dortmund University and University of Dortmund - Economics and Social Sciences
Downloads 78 (312,552)

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correlated random variables, shrinking, correlation matrix, sharpe ratio, portfolio optimization

10.

The Impact of Commodity Finance on Resource Availability

Applied Financial Economics, Forthcoming
Number of pages: 9 Posted: 06 Jan 2015
Joachim Erhardt, Tarek Hard and Peter N. Posch
Technical University of Dortmund, Landesbank Baden-Württemberg (LBBW) and TU Dortmund University
Downloads 64 (348,401)

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Resource availability, international trade, base metals

11.

Quality Signalling and Ratings Credibility: Regulatory Reform for the Ratings Industry

Number of pages: 20 Posted: 31 Jul 2010 Last Revised: 07 May 2012
Peter N. Posch and Roger J. Bowden
TU Dortmund University and Victoria University of Wellington - School of Economics & Finance
Downloads 59 (362,923)

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Financial regulation, credit ratings, agency theory, incentive alignment, information value, real option

12.

Are Agriculture Markets Driven by Investors’ Allocation? Evidence from the Co-Movement of Commodity Prices

Number of pages: 29 Posted: 23 Dec 2016 Last Revised: 14 Feb 2017
Johannes Luebbers and Peter N. Posch
Technical University of Dortmund and TU Dortmund University
Downloads 53 (381,893)

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Agriculture-specific common factor; commodity index traders; futures market

13.

Asymmetry and Performance Metrics for Equity Returns

Number of pages: 19 Posted: 19 Mar 2016
Roger J. Bowden, Peter N. Posch and Daniel Ullmann
Victoria University of Wellington - School of Economics & Finance, TU Dortmund University and University of Dortmund - Economics and Social Sciences
Downloads 53 (381,893)

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Asymmetry metrics, equity returns, Friedman-Savage utility, Sharpe ratio, skewness, fund performance measures

14.

Applying Control Balance Theory to the Rogue Traders Nick Leeson, Jérôme Kerviel, and Kweku Adoboli

Rafeld, H., Fritz-Morgenthal, S., and Posch, P. (2017). Applying control balance theory to the rogue traders Nick Leeson, Jérôme Kerviel, and Kweku Adoboli. Journal of Financial Compliance, 1(3): 276–284.
Number of pages: 14 Posted: 21 Dec 2017 Last Revised: 04 Jan 2018
Technical University of Dortmund, Frankfurt School of Finance & Management gemeinnützige GmbH and TU Dortmund University
Downloads 51 (388,517)

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behaviour risk management, control balance, deviance, rogue trading, unauthorised trading

15.

How Does Stochastic Volatility Influence Asset Prices? – A Parameter-Free Approach

Number of pages: 32 Posted: 09 Mar 2018
Janis Müller and Peter N. Posch
Technical University of Dortmund and TU Dortmund University
Downloads 38 (436,515)

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Stochastic volatility, Consumption-based asset pricing, Factor models, Time-change

16.

A Hybrid Forecasting Algorithm Based on SVR and Wavelet Decomposition

Number of pages: 36 Posted: 12 Jul 2018
Timotheos Paraskevopoulos and Peter N. Posch
Technical University of Dortmund and TU Dortmund University
Downloads 35 (448,961)

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Support Vector Regression, Forecasting, Algorithm

17.

Time-Frequency Linkages and Co-Movements between the Euro and European Stock Market: A Continuous Wavelet Analysis

Number of pages: 31 Posted: 03 Jun 2017 Last Revised: 25 Jun 2018
Timotheos Paraskevopoulos and Peter N. Posch
Technical University of Dortmund and TU Dortmund University
Downloads 34 (453,337)

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Wavelet, Europe, Cyclical and Anti-Cyclical Effects, Wavelet-Coherence, Lead-Lag Relationship

18.

Wrong-Way-Risk in Tails

Journal of Asset Management, doi: 10.1057/s41260-018-0076-9
Number of pages: 23 Posted: 27 Feb 2018 Last Revised: 10 May 2018
Janis Müller and Peter N. Posch
Technical University of Dortmund and TU Dortmund University
Downloads 32 (462,156)

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19.

Dual Disadvantage and Dispersion Dynamics for Income Distributions

Number of pages: 22 Posted: 19 Mar 2016 Last Revised: 20 May 2016
Roger J. Bowden, Peter N. Posch and Daniel Ullmann
Victoria University of Wellington - School of Economics & Finance, TU Dortmund University and University of Dortmund - Economics and Social Sciences
Downloads 32 (462,156)

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asymmetry, economic disadvantage, income inequality, partition entropy, social welfare function

20.

Wall Street’s Bailout Bet: Market Reactions to House Price Releases in the Presence of Bailout Expectations

Journal of Banking and Finance, vol. 37(12), pages 5147-5158, 2013.
Number of pages: 40 Posted: 11 Dec 2010 Last Revised: 10 Mar 2016
Gunter Löffler and Peter N. Posch
Ulm University and TU Dortmund University
Downloads 28 (481,665)

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Financial crisis, announcement effects, house prices, bail-out

21.

Price Delay and Market Frictions in Cryptocurrency Markets

Posted: 28 Nov 2018
Gerrit Köchling, Janis Müller and Peter N. Posch
University of Dortmund, Technical University of Dortmund and TU Dortmund University

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Cryptocurrency, Price Delay, Market Efficiency

22.

Consumption Volatility Ambiguity and Risk Premium's Time-Variation

Posted: 09 Mar 2018
Janis Müller and Peter N. Posch
Technical University of Dortmund and TU Dortmund University

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Stochastic volatility, Ambiguity, Time-varying equity premium

23.

Does the Introduction of Futures Improve the Efficiency of Bitcoin?

Posted: 25 Feb 2018 Last Revised: 06 Nov 2018
Gerrit Köchling, Janis Müller and Peter N. Posch
University of Dortmund, Technical University of Dortmund and TU Dortmund University

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Bitcoin, Market Efficiency, Cryptocurrency, Institutional Investors

24.

Sovereign Asset Values and Implications for the Credit Market

Review of Financial Economics, Forthcoming
Posted: 25 Mar 2013 Last Revised: 13 Feb 2015
Peter N. Posch and Eva-Maria Kalteier
TU Dortmund University and University of Ulm - Department of Mathematics and Economics

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