Stefan Trueck
DEPARTMENT OF APPLIED FINANCE AND ACTUARIAL STUDIES
Macquarie University
Australia
Biography
Stefan joined Macquarie University in July 2007. He has held positions at Queensland University of Technology and University of Karlsruhe in Germany where he received a PhD in Business Engineering. His current research interests focus on risk management and financial econometrics including the fields of energy and commodity markets, credit risk, operational risk, emissions trading, international financial markets, real estate finance and the economics of climate change. He has conducted various consulting and research projects with financial institutions in Europe and Australia. Stefan also has a strong research portfolio and has published - or has forthcoming - papers in international high-impact journals including the Journal of Banking and Finance, Energy Economics, the European Journal of Operational Research, Global Environmental Change, Conservation Biology, the Journal of Portfolio Management, the Journal of Futures Markets, Computers and Operations Research, the Economic Record, The Journal of Credit Risk, and Studies on Non-Linear Dynamics & Econometrics. He was also the recipient of various grants, including two ARC Discovery Grants on "Managing the risk of price spikes, dependencies and contagion effects in Australian electricity markets" and "Risk management with real-time financial and business conditions indicators".
Research Interest
Risk Management (Credit and Operational Risk) Asset Pricing Energy Markets Financial Economics Carbon Trading and Economics of Climate Change Real Estate Economics Econometrics of Financial Markets.
Publications
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Handika R, Trueck S. Risk premiums in interconnected Australian electricity futures markets.
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Trueck S, Rachev ST. Rating based modeling of credit risk: theory and application of migration matrices. Academic press; 2009 Jan 15.
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Misiorek A, Trueck S, Weron R. Point and interval forecasting of spot electricity prices: Linear vs. non-linear time series models. Studies in Nonlinear Dynamics & Econometrics. 2006 Sep 22;10(3).
