Working papers


Liu, F; Kalotay, E; Trueck, S (2017) Assessing Sovereign Default Risk: A Bottom-Up Approach
Han, L; Kordzakhia, N; Trueck, S (2017) Volatility Spillovers in Australian Electricity Markets

Okhrin, O; Ristig, A; Sheen, J; Trueck, S (2017) Quantifying effects from extreme events with applications to financial crises

Sun, J; Shevchenko, P.V. ; Fung, M C (2017) A note on the impact of management fees on the pricing of variable annuity guarantees
Andreasson, J.G; Shevchenko, P.V. (2017) Bias-corrected Least-Squares Monte Carlo for utility based optimal stochastic control problems
Ames, M; Bagnarosa, G; Peters, G.W.; Shevchenko, P.V. (2017) Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades
Deprez, P; Shevchenko, P.V; Wüthrich, M.V. (2017) Machine Learning Techniques for Mortality Modeling
Shevchenko P.V.; Luo, X (2017) Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate
Andreasson, J.G; Shevchenko, P.V. (2017) Assessment of Policy Changes to Means-Tested Age Pension Using Expected Utility Model: Implication for Decisions in Retirement
Fung, M.C.; Peters, G.W.; Shevchenko, P.V. (2017) A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting


Okhrin, O; Ristig, A; Sheen, J; Trueck, S (2015) Conditional Systemic Risk with Penalized Copula
Trueck, S; Wellmann, D (2015) Factors of the Term Structure of Sovereign Yield Spreads
Vassallo, A; Fisher, L; Kingston, G (2015) Protecting Retirement Wealth: A Survey of Australian Products
Sadeghi, M (2015) The Systemic Benefits of Islamic Banking and Finance Practices: A Comparative Study
Mayer, K, Trueck, S (2015) Electricity Markets around the World
Salazar, Y, Bianchi, R, Drew, M, Trueck, S (2015) Retirement Wealth Outcomes for Superannuation Portfolios: A Risk-Adjusted Analysis
Pastorekova, S, Sheen, J, Trueck, S, Truong, C, Wang, B (2015) Can a Real-Time Business Conditions Indicator Help to Predict Stock Returns?
Wellmann, D, Trueck, S (2015) Forecasting the term structure of interest rates in low yield environments: why is it so hard to beat the random walk?
Longden, T, Mathew, S, Trueck, S (2015) A matter of time: an analysis of decision making using estimates for the frequency and severity of bushfire risk


Salazar, Y, Bianchi, R, Drew, M, Trueck, S (2014) The Diversification Delta: A Different Perspective
Truong, C, Trueck, S (2014) It's not now or never: Implications of Investment Timing and Risk Aversion on Climate Adaptation to Extreme Events
Keighley, T, Longden, T, Mathew, S, Trueck, S (2014) Quantifying catastrophic and climate impacted hazards based on local expert opinions
Sheen, J, Trueck, S, Truong, C, Wang, B (2014) Systemic Financial Risk Interference in a Global Setting
Milunovich, G (2014) Complete and Partial Identification of the A- and B-Models in the Context of Heteroskedastic SVARs.
Cummings, J, Durrani, K (2014) Effect of the Basel Accord capital requirements on the loan-loss provisioning practices of Australian banks.
Hollander, H, Trueck, S (2014) Modelling the Term Structure of Credit Default Swap Spreads
Sheen, J, Trueck, S, Wang, B (2014) Understanding a small open Economy Business Conditions Index
Handika, R., Trueck, S, Truong, C, Weron, R (2014) Modeling Price Spikes in Electricity Markets: The Impact of Load, Weather and Capacity, Macquarie University
Handika, R., Trueck, S (2014) The Dynamics of Risk Premiums in Australian Electricity Futures Markets, Macquarie University
Handika, R., Trueck, S (2014) Risk Premiums in Interconnected Australian Electricity Futures Markets, Macquarie University
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