Egon Kalotay, Business and Economics, Macquarie University

Egon Kalotay, Business and Economics, Macquarie University

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Contact Staff

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  • Title: Doctor
  • Position: Senior Lecturer - Department of Applied Finance and Actuarial Studies
  • Qualifications: BEc(Hons) Macquarie, PhD AGSM

Contact Details

Areas of Expertise

  • Accounting and Corporate Governance
  • Asset pricing
  • Derivatives
  • Credit risk management

Research areas

  • Accounting and Corporate Governance
  • Asset pricing
  • Derivatives
  • Credit risk management

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Research Interests

Empirical work in:
  • asset pricing
  • derivatives
  • credit risk management

Current Teaching

  • ACCG329
  • ACCG807
  • ACCG839

Research Supervision

  • Honours and PhD

Publications

  • Altman E., Fargher N., and Kalotay E., 2010, 'A Simple Empirical Model of Equity-Implied Probabilities of Default', Journal of Fixed Income (Forthcoming)
  • Benson, K., Gray, P., Kalotay E., and Qui, J. 2008.  ‘Portfolio construction and performance measurement when returns are non-normal’, Australian Journal of Management, Volume 32, no. 3, pp 445-462
  • Kalotay, E. 2007. A Discussion of  Hensher and Jones ‘Forecasting Corporate Bankruptcy: Optimising the Performance of the Mixed Logit Model’, Abacus, Volume 43, No. 3, pp. 265-270.
  • Kalotay E., Gray P., and Sin S. 2007. ‘Consumer Expectations and Short Horizon Return Predictability’, Journal of Banking & Finance. Volume 31, no. 10, pp 3102-3124.
  • Gray, P., Edwards, S. and Kalotay E. 2007.’Canonical Valuation of Index Options’, Journal of Futures Markets, Volume 27, no. 8, pp. 771-790.
  • Gray, P., Kalotay, E., and McIvor, J., 1998, ‘Testing the Multivariate Normality of Australian Stock Returns’, Australian Journal of Management, Volume 32, no. 3, pp 445-462

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